Hodgkinson, Lynn; Wells, Jo - In: Applied financial economics 19 (2009) 19/21, pp. 1753-1760
Frank and Jagannathan (1998) compare ex-dividend drop in share price to the dividend paid in a tax-free environment and …'s closing price on the cum-dividend day to the ex-dividend day of, usually, up to 3 days, a proxy is used to account for changes … in the stock price unrelated to the dividend payment. An equilibrium model such as the capital asset pricing model is …