The Weekend-Dividend Effect in the Spanish Market

Abstract

In the Spanish stock market and the sample period analyzed, on average, days after a weekend or a holiday present higher returns. Firms could partially make up the price drop on ex-dividend days by scheduling dividend payments after a weekend or a holiday. However, the evidence suggests that firms do not use such policy. Formal econometric evidence finds no indication of a significant weekend effect, though, at the individual level, some stocks yield abnormal returns on ex-dividend days and when dividends are scheduled on days after weekends or holidays.