Capital Structure and the Ex-Dividend Day Return
用期权定价框架解释股票除息日正回报现象，发现财务杠杆越高的公司除息日回报越高，且股利捕获活动影响不显著。
We apply an option-pricing framework to the ex-dividend behavior of common stocks. The framework explains the observed behavior of positive returns on the ex-dividend day and predicts that ex-dividend day returns will be higher for firms with greater financial leverage. Empirical testing supports the prediction. In contrast to prior studies, we find that dividend-capture activity has no significant impact on ex-dividend behavior, and we offer an explanation based on the importance of tick intervals.