Dividendstripping in Germany, Evidence from the German Futures-Market

This paper investigates whether it was actually possible to prevent abusive Cum/Ex and Cum/Cum transactions with legislative amendments made in 2012 (OGAWIV) and in2016 respectively 2018 (InvStRefG). As a result of an adapted environment due to these legal changes, variants of these transactions have emerged. This paper presents and examines these variants theoretically against the background of previous constellations and applicable legislation. Empirically, prior research has already found a gradual effective reduction of Cum/Cum and Cum/Ex transactions after 2012 and 2016 indicated by significant reductions in trading volume around the dividend ex dates. The empirical analyses in this pa- per support these findings and extent them by focusing on data up to 2023 in which another legislative amendment became effective in 2018. The results show, that, again, the trading volume significantly decreased after 2018. However, the remaining trading activity around the ex day, which is still observable up to now, gives reason to suspect that, although a large-scale volume reduction has been achieved, it has not been possible to suppress illegitimate variants of Cum/Ex and Cum/Cum transactions completely. To disentangle whether illegal or con- ventional legal forms of dividendstripping explain this remaining trading activity, additional analyses (based on longer time window and based on a subsample with high profit margins) are performed that however do not find significant support for this suspect. JEL Classification: H26 , G12 , G13 , K34