Does a share's gain at the open on its payout day rise with its payout yield?
Study 77 · Changed a rule or plan · recorded 30 October 2026 · answer: Yes · full paper with figures
The question
An earlier study found shares gained 0.0877 percentage points on payout days from the previous close to the open, payout added back, and lost it by the close. We compare payout days in the highest and lowest thirds of payout yield (the payout over the previous close), each return net of same-day paying shares with no payout near.
Rules fixed before the result
Fixed before any outcome, the answer reads the 95% range of the gap between the highest and lowest yield thirds: wholly above zero, the gain rises with yield; wholly below, it falls; reaching zero but within a tenth of a percentage point either side, no gap that size; otherwise, open. Where the give-back lies was read on 99% ranges. The study required 6,000 payout days, 500 paying shares, 900 sessions with a payout day and 1,500 days per third.
Data and method
Shares priced at five or more as traded the day before were followed on their payout days in 2018 to 2022, splits within two sessions excluded, the yield thirds fixed before any return was formed; the ranges allow for days sharing a session and for a share's repeated payouts. The earlier years 2013 to 2017 set the expected precision: the smallest detectable gap, 0.092 points, was within the 0.135 expected. The same shares' other sessions served as a check.
The answer
Yes. Over 8,570 payout days of 621 paying shares in 2018 to 2022, the gain at the open, net of same-day paying shares, was 0.142 percentage points larger in the highest-yield third than in the lowest, with a 95% range from 0.072 to 0.212, wholly above zero; the thirds averaged 0.021, 0.070 and 0.163. From the open to the close the highest-yield third lost 0.214 points (a 95% range from -0.311 to -0.117), while the other two thirds showed no clear loss, so the day's give-back sat in that third. As a share of the payout the gain showed no clear change with yield: the difference was 0.083 of the payout, from -0.140 to 0.306.
Main estimate
0.142 percentage points (95% range 0.072 to 0.212), from 8570 observations
What it changes
By the rule set in advance, study seventy-one's flat payout day is recorded as a gain set at the open and given back by the close where the payout yield is highest. The plan expected this, with low confidence, but also expected the gain as a share of the payout to fall with yield; it showed no clear change. A payout recorded too large would also show that, so a check of recorded payouts against an outside source is proposed.
How it was made
Run took 82 minutes; independent code review: approve.
Exploratory work on development data; not a performance claim.