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Order Imbalance on Ex‐Dividend Days

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  • Keith Jakob
  • Tongshu Ma

Abstract

In this article we test an alternative to the tax‐based explanation for why prices decline on ex‐dividend days by an amount less than the dividend. We examine whether there is order imbalance on cum‐ and ex‐dividend days. We find that on ex‐dividend days, there are more buys than sells in the number of orders, but not in the number of shares ordered, and the imbalance in the number of orders is limited to small orders. We find that the difference between the dividend amount and the ex‐dividend‐day price drop is significantly related to the magnitude of the buy‐sell order imbalance. We find no order imbalance on cum‐dividend days in either the number of orders or the number of shares ordered.

Suggested Citation

  • Keith Jakob & Tongshu Ma, 2003. "Order Imbalance on Ex‐Dividend Days," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(1), pages 65-75, March.
    • Handle: RePEc:bla:jfnres:v:26:y:2003:i:1:p:65-75
    DOI: 10.1111/1475-6803.00045
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    Cited by:

    1. Andrew B. Ainsworth & Kingsley Y.L. Fong & David R. Gallagher & Graham Partington, 2018. "Taxes, Order Imbalance and Abnormal Returns around the ex‐Dividend day," International Review of Finance, International Review of Finance Ltd., vol. 18(3), pages 379-409, September.
    2. Wang, Zi-Mei & Chiao, Chaoshin & Chang, Ya-Ting, 2012. "Technical analyses and order submission behaviors: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 109-128.
    3. Hamish D. Anderson & Lawrence C. Rose & Steven F. Cahan, 2004. "Odd‐lot Costs and Taxation Influences on Stock Dividend Ex‐dates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(9‐10), pages 1419-1448, November.
    4. Shing‐yang Hu & Yun‐Ian Tseng, 2006. "Who Wants to Trade Around Ex‐Dividend Days?," Financial Management, Financial Management Association International, vol. 35(4), pages 95-119, December.
    5. Hamish D. Anderson & Lawrence C. Rose & Steven F. Cahan, 2004. "Odd‐lot Costs and Taxation Influences on Stock Dividend Ex‐dates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(9‐10), pages 1419-1448, November.

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