부산대학교 도서관

Based on the institutional characteristics of the Korean stock market where cash dividends has not been decided at ex-dividend date, this study deals with whether excess returns can be obtained fromdividend arbitrage. Analyzing 3,611 firms listed on the KOSPI market between 2016 and 2020, we find that dividend arbitrage yields positive excess returns, even considering dividend tax, time value of money, fees and transaction taxes. Furthermore, when selecting target firms for dividend arbitrage using public information on whether cash dividends were paid in the previous year and cumulative operating profit until the third quarter of the year, we find an average excess return of 0.48 to 1.45%. The resultsmean that ex-dividend are belowcash dividends in the Korean stockmarket because it is not knownwhether or not cash dividends will be declared at the time of the ex-dividend, and that information such as payment of cash dividends for the previous year or firm's operating profit until 3rd quarter of the year is not sufficiently reflected in the ex-dividend. The gap between cash dividends and ex-dividend in the Korean stockmarket distorts the adjustment of stock prices to newinformation and increases uncertainty for investors, suggesting that a systemfor advance disclosure of cash dividends should be introduced like the US stockmarket in the future.