Dividend payments are firm events on a recurring and predictable basis. High returns in the period between announcement-date and ex-dividend date are the main driver for the so-called dividend month premium, which are positive abnormal returns in months in which corporations are predicted to issue dividend payments. In our empirical analysis of the German stock market, we find a robust dividend month premium, which is particularly high for stocks with positive dividend surprise. Knowing the dates of dividend announcements and payments enable portfolio managers to exploit the dividend month premium. Also taking into account tracking error and transaction costs, we show that simple portfolio-enhancing strategies lead to highly significant abnormal returns.

股利支付是重复发生且可预测的固定事件。公告日至除权日之间的高回报是所谓的股息月溢价的主要驱动力，股息月溢价是预计公司发行股息的月份中的正异常收益。在对德国股票市场的实证分析中，我们发现股息月份溢价强劲，这对于股息惊喜为正的股票而言尤其高。知道股息宣布和支付的日期，使投资组合经理可以利用股息月份溢价。还考虑了跟踪误差和交易成本，我们证明了简单的投资组合增强策略会导致非常显着的异常收益。