Paper Title
Ex-Dividend Day Price Behavior and Liquidity: Evidence from an Emerging Market Free of Microstructure Impediments

Abstract
This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices drop less than the dividend amount on the ex-day; this market inefficiency is attributed to the tax-induced clientele effect and various structural frictions. I show that, even in a tax-free market where the usual microstructure impediments are limited or absent, abnormal returns persist. Imodify the illiquidity ratio to account for the restriction in the public free float and find that liquidity is statistically significant in the determination of the ex-dividend day price anomaly. A 1% reduction in illiquidity yields a 0.1% increase in unrealized abnormal returns. Keywords - Abnormal return; dividends; microstructure; emerging markets; liquidity; mispricing. JEL Classifications - G12, G14, G15, G35.