Since abnormal price drops on ex-dividend dates were first reported in the 1950s, researchers have been trying to understand the factors that contribute to this phenomenon. In such a context, the study takes advantage of the 2005 and 2006 tick size reduction in the Hong Kong market to examine the price discreteness argument. Using a measurement methodology and data from 2001 to 2011, the study finds that the reduction has not led to a significant decrease in ex-day returns and increase in abnormal volume. Moreover, the change in ex-day returns and volume do not increase with the size of tick size reduction, inconsistent with the price discreteness explanation. In addition, the run-up on cum days and run-down after ex-dates in market without individual-level taxes provide evidence to support investor’s “bird-in-hand” preference. In sum, ex-day behavior cannot be fully captured by existing rational theories, suggesting a possible behavioral ex-day explanation.