We propose a new explanation for the abnormal return on ex dates. The ex date is a high-publicity event that attracts attention of small investors and moves stock prices, even when there is no tax and no price discreteness. We test this "attention hypothesis" by using a sample of stock dividend distributions in Taiwan. We find that small investors are significant buyers on ex dates, and their purchases are higher for high-attention stocks. The ex-date returns are also higher for the same kinds of stocks. Our attention hypothesis imposes nonlinear restrictions on coefficients across regressions, and we cannot reject them.