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The Ex-Dividend Behavior of Nonconvertible Preferred Stock Returns and Trading Volume

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  • Stickel, Scott E.

Abstract

On average, nonconvertible preferred stocks have significantly positive abnormal returns and trading volume on the ex-day. For the less liquid stocks, however, the abnormal returns are significantly positive, and abnormal trading volume is insignificantly different from zero. This evidence suggests that long-term individual investors set the ex-day prices of less liquid stocks. For the more liquid stocks, the ex-day abnormal returns are closer to zero, and there is significantly positive abnormal trading volume on the ex-day and the day before the ex-day. These results suggest that short-term investors set the ex-day prices of more liquid stocks through dividend capture strategies. Despite this evidence, some inconsistent empirical findings make the overall evidence on dividend capture somewhat mixed.

Suggested Citation

  • Stickel, Scott E., 1991. "The Ex-Dividend Behavior of Nonconvertible Preferred Stock Returns and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(1), pages 45-61, March.
    • Handle: RePEc:cup:jfinqa:v:26:y:1991:i:01:p:45-61_00
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    Cited by:

    1. Andrew W. Lo & Jiang Wang, 2006. "Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 61(6), pages 2805-2840, December.
    2. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.
    3. Murphy, A. & Schlag, C., 1999. "An empirical examination of the effect of dividend taxation on asset pricing and returns in Germany," Global Finance Journal, Elsevier, vol. 10(1), pages 35-52.
    4. Park, Cheol & Choi, Paul Moon Sub & Choi, Joung Hwa, 2019. "Is individual trading priced in the preferred stock discount?," Emerging Markets Review, Elsevier, vol. 38(C), pages 326-346.
    5. K. J. Martijn Cremers & Jianping Mei, 2007. "Turning over Turnover," The Review of Financial Studies, Society for Financial Studies, vol. 20(6), pages 1749-1782, November.
    6. Martijn Cremers & Jianping Mei, 2004. "Turning Over Turnover," Yale School of Management Working Papers ysm429, Yale School of Management, revised 01 May 2008.
    7. Randy I. Anderson & Hany Guirguis & Anthony L Loviscek, 2023. "Do Preferred REITs Have Portfolio Enhancement Attributes? An Empirical Investigation," The Journal of Real Estate Finance and Economics, Springer, vol. 67(4), pages 656-672, November.
    8. Mark Iarovyi & sasson Bar Yosef & Itzhak Venezia, 2017. "Implied Maturity Mismatches and Investor Disagreement," Proceedings of Economics and Finance Conferences 4507072, International Institute of Social and Economic Sciences.
    9. Devrim Yaman, 2011. "Long-Run Operating Performance Of Preferred Stock Issuers," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(2), pages 61-73.

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