This question asks whether stock prices really go down by the amount of the dividend on the day you need to own it to receive the dividend (ex-date). It has two answers:

  1. The accepted answer explains theoretically why it should happen. However as we know, because something should happen in economics doesn't mean it does.
  2. The second answer rather offhandedly gives you a Google search term to use to confirm it yourself. I used the search term and did not find evidence to back up the assertion.


Are there actual studies that show that this is the case, or is it something that is assumed to be true?

N.B If you want to post answers consisting of explanations of why it should be true, or offer search terms, feel free to add them to the other question.

  • The question at the link asks if it goes down at the ex-date. You're talking about the pay date. I think you should choose one and clarify which you mean. Also - If you're going to edit, you mean "go" in the title rather than "do".
    – user32479
    Commented Dec 22, 2015 at 19:02

3 Answers 3


Ex-Dividend Price Behavior of Common Stocks would be a study from the Federal Reserve Bank of Minneapolis and University of Minnesota if you want a source for some data.


This study examines common stock prices around ex-dividend dates. Such price data usually contain a mixture of observations - some with and some without arbitrageurs and/or dividend capturers active. Our theory predicts such mixing will result in a nonlinear relation between percentage price drop and dividend yield - not the commonly assumed linear relation. This prediction and another important prediction of theory are supported empirically. In a variety of tests, marginal price drop is not significantly different from the dividend amount. Thus, over the last several decades, one-for-one marginal price drop have been an excellent (average) rule of thumb.

  • This is exactly the same study as the earlier answer provided.
    – user32479
    Commented Dec 22, 2015 at 20:31
  • I un-deleted. The other link didn't offer the full text. Try to download the PDF from that link. Commented Dec 22, 2015 at 21:54
  • @JoeTaxpayer Good call. I didn't try for the full text.
    – user32479
    Commented Dec 22, 2015 at 23:40

Here is one study http://rfs.oxfordjournals.org/content/7/4/711.short

I quote from the abstract

"In a variety of tests, marginal price drop is not significantly different from the dividend amount. Thus, over the last several decades, one-for-one marginal price drop has been an excellent (average) rule of thumb."

  • @DJClayworth Neither the answer nor the abstract claim to do that. I haven't read it and can't vouch for its correctness or relevance (and actually have some doubts about the authors' interpretation of statistical test results) but the bit quoted quite explicitly refers to an empirical test of the theory in question.
    – Relaxed
    Commented Dec 22, 2015 at 18:40
  • There was originally a portion explaining the theoretical workings of the phenomenon. I just removed it as requested. I do think that the OP is a bit quick to judge though, especially since I put a lot of thought into the explanation.
    – mark3292
    Commented Dec 22, 2015 at 18:42
  • Originally the answer had just a theoretical justification. I appreciate the thought going into it, but I had specifically asked NOT for a theoretical explanation. The revised version is much more what I was looking for. Commented Dec 22, 2015 at 18:50
  • 1
    If I am looking at the right place, it looks like that study was published in 1994? A lot has happened since then... While it might still hold true, I personally would like to find a study that is a little bit more recent. (I haven't found one just yet though....) :)
    – BlakeP
    Commented Dec 22, 2015 at 19:30
  • 1
    Blake, I mentioned in the original answer that most academic studies on the topic I managed to find are quite old. Indeed, it seems like the dividend price drop is such a basic/simple phenomenon that researchers have kind of reached a conclusion on the matter, and apparently no further research was needed (I don't know for sure, but it seems like it). I noticed a few studies stating that in some cases the price does not drop exactly as much as the dividend amount, however, this was apparently explained by the tax benefit effect.
    – mark3292
    Commented Dec 22, 2015 at 19:37

It might be clearer to think of it as price going up when a dividend is expected, since that's money you'll get right back. As the delay before the next dividend payment increases, that becomes less of a factor,

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