In this paper we analyze the ex-dividend day stock price behavior in the Athens Stock Exchange (ASE) over the period 1996-2005 , extending on international evidence and testing the soundness of competing theories , taking into account the distinctiveness of Greek environment. Our findings show that on the ex-dividend day, stock prices fall by less than the dividend paid. These findings cannot be attributed to tax effects because neither dividends nor capital gains are taxed. Furthermore, by examining the abnormal returns as well as abnormal volumes around ex-dividend day we do not find evidence of short-term trading. Both are not affected by commonly used measures of transaction costs, such us the inverse of price on the cum day and normal trading volume. Finally, we examine the announcement from the ASE Board of Directors (April 2001) approved the non-adjustment of the share price in cases of dividend distribution, and we conclude that this announcement alleviate the anomaly. Even this case, the premium tends to one and abnormal returns tend to zero, but the anomaly is not wiped out.