Efthymiou, Vassilis A.; Leledakis, George N. - In: Quantitative Finance 14 (2014) 4, pp. 711-724
We empirically test whether the disposition effect has an asymmetrical impact on the price adjustment on the ex-dividend day of common stocks listed in NYSE and AMEX during the 2001-2008 period. We find that stocks with accrued gains have a greater ex-day price drop ratio (PDR) than stocks with...