Original Research

A note on the timing of dividend receipts in share returns

Paul Van Rensburg, Kevin Slaney, Phillipe Hardy
South African Journal of Business Management | Vol 28, No 4 | a801 | DOI: https://doi.org/10.4102/sajbm.v28i4.801 | © 2018 Paul Van Rensburg, Kevin Slaney, Phillipe Hardy | This work is licensed under CC Attribution 4.0
Submitted: 15 October 2018 | Published: 31 December 1997

About the author(s)

Paul Van Rensburg, Department of Accounting and Finance, University of Natal, South Africa
Kevin Slaney, Department of Accounting and Finance, University of Natal, South Africa
Phillipe Hardy, Department of Accounting and Finance, University of Natal, South Africa

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Abstract

Researchers in financial economics conventionally include dividend receipts as returns received on their date of payment. This article argues that this procedure misrepresents the economic timing of shareholder returns. A theoretical discussion of the ex-dividend effect and an empirical investigation of this phenomenon on the Johannesburg Stock Exchange are used to motivate the contention that researchers would be more correct to incorporate dividend receipts in share returns on their 'ex dividend' rather than payment dates. This argument has particular relevance for those financial researchers employing monthly share price data. A failure to make this adjustment generally results in four out of twelve observations of share returns being characterized by measurement errors (the payment date generally being in the month following the ex-dividend date).

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Crossref Citations

1. Does Lintner’s dividend model explain South African dividend payments?
H.P. Wolmarans
Meditari Accountancy Research  vol: 11  issue: 1  first page: 243  year: 2003  
doi: 10.1108/10222529200300015