We examine ex-dividend day behavior on the Copenhagen Stock Exchange. We report price drop ratios of 25%, well below the 70-80% from U.S. data. The tax clientele hypothesis predicts ratios between 57% and 126% based on the Danish tax structure. Our results conflict with tax and tick size models,...

We examine ex-dividend day behavior on the Copenhagen Stock Exchange. We report price-drop ratios of 32% and 18% for close-to-close and close-to-open samples, respectively, well below the ratios observed in the United States. Our findings are generally consistent with limit order adjustment...