除息日异常现象与市净率效应--基于封闭式基金的实证

摘要

本文以封闭式基金为研究对象，分析并验证除息事件是否有“市价净值率效应”。分析除息事件对市净率的影响，并推论和支持假设，显示除息事件有市净率效应存在。对封闭式基金除息事件的推论与发现可以类推到一般股票的除息事件，还可以扩展对除息日异常现象的研究视角。%This paper examines if there is price-to-book effect in ex-dividend day anomaly based on closed-end funds, demonstrates that the price-to-book ratio of stocks will change after cash dividend events,derives from three testable hypotheses and uses cash dividend events of closed-end funds traded in the US equity market.Test results are consistent with the hypotheses,indicating that there is a price-to-book effect in stock returns on the ex-dividend days.This might be the first study showing that there is price-to-book effect in stock price anomaly on ex-dividend days.Findings of this paper provides an alternative explanation for the ex-dividend day anomaly.