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Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day

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Cited by:

  1. Nicolas Eugster & Romain Ducret & Dušan Isakov & Jean‐Philippe Weisskopf, 2022. "Chasing dividends during the COVID‐19 pandemic," International Review of Finance, International Review of Finance Ltd., vol. 22(2), pages 335-345, June.
  2. Rydqvist, Kristian & Dai, Qinglei, 2007. "Investigation of the Costly-Arbitrage Model of Price Formation Around the Ex-Dividend Day," CEPR Discussion Papers 6074, C.E.P.R. Discussion Papers.
  3. Ming-Chang Cheng & Ching-Hwa Lee, 2016. "Trading Activities Around Ex-Dividend Days: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-17, March.
  4. Jan Bartholdy & Kate Brown, 2004. "Testing for Multiple Types of Marginal Investor in Ex-Day Pricing," Multinational Finance Journal, Multinational Finance Journal, vol. 8(3-4), pages 173-209, september.
  5. Renneboog, L.D.R. & Trojanowski, G., 2005. "Patterns in Payout Policy and Payout Channel Choice of UK Firms in the 1990s," Discussion Paper 2005-22, Tilburg University, Center for Economic Research.
  6. Juan Gabriel Brida & W. Adrian Risso, 2009. "Dynamic and Structure of the Italian stock market based on returns and volume trading," Economics Bulletin, AccessEcon, vol. 29(3), pages 2417-2423.
  7. Gorman, Larry R. & Mahajan, Arvind & Weigand, Robert A., 2004. "The ex-dividend day behavior of American depository receipts," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 1-18, February.
  8. Chatjuthamard, Pattanaporn & Singh, Simran & Jiraporn, Pornsit & Lee, Sang Mook, 2024. "Climate change exposure, shareholder wealth, and the adoption of the Paris agreement: A text-based approach," International Review of Financial Analysis, Elsevier, vol. 94(C).
  9. Ali, Ashiq & Klasa, Sandy & Zhen Li, Oliver, 2008. "Institutional stakeholdings and better-informed traders at earnings announcements," Journal of Accounting and Economics, Elsevier, vol. 46(1), pages 47-61, September.
  10. Liljeblom, Eva & Loflund, Anders & Hedvall, Kaj, 2001. "Foreign and domestic investors and tax induced ex-dividend day trading," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1687-1716, September.
  11. Margaret Lamb & Andrew Lymer, 1999. "Taxation research in an accounting context: future prospects and interdisciplinary perspectives," European Accounting Review, Taylor & Francis Journals, vol. 8(4), pages 749-776.
  12. Milonas, Nikolaos T. & Travlos, Nickolaos G. & Xiao, Jason Zezhong & Tan, Cunkai, 2006. "The ex-dividend day stock price behavior in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 14(2), pages 155-174, April.
  13. Ainsworth, Andrew & Lee, Adrian D., 2014. "Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia," Journal of Financial Markets, Elsevier, vol. 20(C), pages 101-128.
  14. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2006. "Taxes and dividend clientele: Evidence from trading and ownership structure," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 229-246, January.
  15. Katsushi Suzuki, 2015. "Unique Dividends for Retail Shareholders: Evidence from Shareholder Perks," Discussion Papers 2015-20, Kobe University, Graduate School of Business Administration.
  16. Wu, Chunchi & Hsu, Junming, 1996. "The Impact of the 1986 Tax Reform on Ex-Dividend Day Volume and Price Behavior," National Tax Journal, National Tax Association, vol. 49(2), pages 177-92, June.
  17. Felix Kreidl, 2020. "Stock-Market Behavior on Ex-Dates: New Insights from German Stocks with Tax-Free Dividend," IJFS, MDPI, vol. 8(3), pages 1-21, September.
  18. Raj Chetty & Joseph Rosenberg & Emmanuel Saez, 2005. "The Effects of Taxes on Market Responses to Dividend Announcements and Payments: What Can we Learn from the 2003 Dividend Tax Cut?," NBER Working Papers 11452, National Bureau of Economic Research, Inc.
  19. Sven-Olov Daunfeldt, 2007. "Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden," The European Journal of Finance, Taylor & Francis Journals, vol. 13(7), pages 657-667.
  20. Jakob, Keith J. & Ma, Tongshu, 2007. "Are ex[hyphen (true graphic)]day dividend clientele effects dead? Dividend yield versus dividend size," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 718-735, December.
  21. Barros, Victor & Verga Matos, Pedro & Miranda Sarmento, Joaquim, 2020. "What firm’s characteristics drive the dividend policy? A mixed-method study on the Euronext stock exchange," Journal of Business Research, Elsevier, vol. 115(C), pages 365-377.
  22. Boyd, John H & Jagannathan, Ravi, 1994. "Ex-dividend Price Behavior of Common Stocks," The Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 711-741.
  23. Blau, Benjamin M. & Fuller, Kathleen P. & Van Ness, Robert A., 2011. "Short selling around dividend announcements and ex-dividend days," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 628-639, June.
  24. Jiang Wang, 2002. "Trading Volume and Asset Prices," Annals of Economics and Finance, Society for AEF, vol. 3(2), pages 299-359, November.
  25. Khamis Al Yahyaee & Toan Pham & Terry Walter, 2008. "Ex‐Dividend Day Behavior in the Absence of Taxes and Price Discreteness," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 103-123, September.
  26. Kose John & Ravi S. Mateti & Duong Nguyen & Gopala Vasudevan, 2016. "The Ex†dividend Day Behaviour of REITs: Tax or Market Microstructure Effects," European Financial Management, European Financial Management Association, vol. 22(3), pages 341-366, June.
  27. Efthymiou, Vassilis A. & Episcopos, Athanasios & Leledakis, George N. & Pyrgiotakis, Emmanouil G., 2021. "Intraday analysis of the limit order bias on the ex-dividend day of U.S. common stocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 405-421.
  28. Vassilis A. Efthymiou & George N. Leledakis, 2014. "The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 711-724, April.
  29. Nguyen Ngoc Anh Le & Xiangkang Yin & Jing Zhao, 2020. "Effects of investor tax heterogeneity on stock prices and trading behaviour around the ex‐dividend day: the case of Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3775-3812, December.
  30. Wu, Chunchi & Hsu, Junming, 1996. "The Impact of the 1986 Tax Reform on Ex-Dividend Day Volume and Price Behavior," National Tax Journal, National Tax Association;National Tax Journal, vol. 49(2), pages 177-192, June.
  31. Chen, Hung-Ling & Chow, Edward H. & Shiu, Cheng-Yi, 2013. "Ex-dividend prices and investor trades: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 39-65.
  32. Dai, Qinglei & Rydqvist, Kristian, 2009. "Investigation of the costly-arbitrage model of price formation around the ex-dividend day in Norway," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 582-596, September.
  33. Korkeamaki, Timo & Liljeblom, Eva & Pasternack, Daniel, 2010. "Tax reform and payout policy: Do shareholder clienteles or payout policy adjust?," Journal of Corporate Finance, Elsevier, vol. 16(4), pages 572-587, September.
  34. Asimakopoulos, Panagiotis N. & Tsangarakis, Nickolaos V. & Tsiritakis, Emmanuel D., 2015. "Price adjustment method and ex-dividend day returns in a different institutional setting," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 1-12.
  35. Hue Hwa Au Yong & Christine Brown & Chloe Choy Yeing Ho, 2014. "Off-Market Buybacks in Australia: Evidence of Abnormal Trading around Key Dates," International Review of Finance, International Review of Finance Ltd., vol. 14(4), pages 551-585, December.
  36. Fernando Chague & Rodrigo De Losso, Bruno Giovannetti, 2018. "Individual Investors Look at Price Tags," Working Papers, Department of Economics 2018_17, University of São Paulo (FEA-USP).
  37. Bell, L. & Jenkinson, T., 2000. "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," Economics Series Working Papers 9924, University of Oxford, Department of Economics.
  38. Holzmann, Carolin & Scholz, Hendrik & Kreidl, Felix & Büttner, Thiess, 2017. "Stock Market Behavior on Ex-Dividend Dates: The Case of Cum-Ex Transactions in Germany," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168242, Verein für Socialpolitik / German Economic Association.
  39. Moritz Wagner & Xiaopeng Wei, 2020. "Cum-Ex Trading – The Biggest Fraud in History?," Working Papers in Economics 20/19, University of Canterbury, Department of Economics and Finance.
  40. Hsing-Hua Hsiung & Juo-Lien Wang & Hong-Wei Huang, 2022. "The Different Dividend Signaling Effect under Tax Deduction around Ex-Right Day: Evidence from Taiwan Stock Exchange," JRFM, MDPI, vol. 15(11), pages 1-13, November.
  41. Justin Cox & Kathleen P. Fuller & Robert Van Ness, 2024. "Where does ex‐dividend trading occur: An examination of trading venues around dividends," The Financial Review, Eastern Finance Association, vol. 59(1), pages 31-55, February.
  42. Thiess Buettner & Carolin Holzmann & Felix Kreidl & Hendrik Scholz, 2020. "Withholding-tax non-compliance: the case of cum-ex stock-market transactions," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 27(6), pages 1425-1452, December.
  43. Oliver Zhen Li, 2010. "Tax‐Induced Dividend Capturing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7‐8), pages 866-904, July.
  44. Castillo, Augusto & Jakob, Keith, 2006. "The Chilean ex-dividend day," Global Finance Journal, Elsevier, vol. 17(1), pages 105-118, September.
  45. Florentsen, Bjarne & Rydqvist, Kristian, 2002. "Ex-Day Behavior When Investors and Professional Traders Assume Reverse Roles: The Case of Danish Lottery Bonds," Journal of Financial Intermediation, Elsevier, vol. 11(2), pages 152-175, April.
  46. Jeff Whitworth & Ramesh P. Rao, 2010. "Do Tax Law Changes Influence Ex‐Dividend Stock Price Behavior? Evidence from 1926 to 2005," Financial Management, Financial Management Association International, vol. 39(1), pages 419-445, March.
  47. Frank, Murray & Jagannathan, Ravi, 1998. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Journal of Financial Economics, Elsevier, vol. 47(2), pages 161-188, February.
  48. 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.
  49. Green, Richard C. & Rydqvist, Kristian, 1999. "Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds," Journal of Financial Economics, Elsevier, vol. 53(2), pages 145-187, August.
  50. Huang, Wei & Rhee, S. Ghon & Suzuki, Katsushi & Yasutake, Taeko, 2022. "Do investors value shareholder perks? Evidence from Japan," Journal of Banking & Finance, Elsevier, vol. 143(C).
  51. Liu, Wen-Rang & Chiang, Yao-Min & Chung, San-Lin, 2024. "Dividend-tax avoidance trade and its impact on the stock market," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  52. Aaro Hazak, 2006. "Dividend Decision under Distributed Profit Taxation: Investorís Perspective," Working Papers 145, Tallinn School of Economics and Business Administration, Tallinn University of Technology.
  53. Maria Rosa Borges, 2007. "An Arbitrage Model for the Stock Price Adjustment in the Dividend Period," Working Papers Department of Economics 2007/09, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  54. Rantapuska, Elias, 2008. "Ex-dividend day trading: Who, how, and why?: Evidence from the Finnish market," Journal of Financial Economics, Elsevier, vol. 88(2), pages 355-374, May.
  55. Kai-Wei (Shaun) Siau & Stephen J. Sault & Geoffrey J. Warren & Henk Berkman, 2015. "Are imputation credits capitalised into stock prices?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 241-277, March.
  56. Ainsworth, Andrew & Lee, Adrian D., 2023. "Sharing the dividend tax credit pie: The influence of individual investors on ex-dividend day returns," Journal of Financial Markets, Elsevier, vol. 62(C).
  57. Andrew Ainsworth & Kingsley YL Fong & David R Gallagher & Graham Partington, 2016. "Institutional trading around the ex-dividend day," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 299-323, May.
  58. Cannavan, Damien & Gray, Stephen, 2017. "Dividend drop-off estimates of the value of dividend imputation tax credits," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 213-226.
  59. Maria Borges, 2008. "The Ex-Dividend Day Stock Price Behavior: The Case of Portugal," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 36(1), pages 15-30, March.
  60. Oliver Zhen Li, 2010. "Tax-Induced Dividend Capturing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(7-8), pages 866-904.
  61. 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.
  62. Tseng, Yun-lan & Hu, Shing-yang, 2013. "Tax reform and the identity of marginal traders around ex-dividend days," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 181-199.
  63. Sarig, Oded & Tolkowsky, Efrat, 1997. "Dividend effects in Israel: a puzzle," Economics Letters, Elsevier, vol. 54(2), pages 169-174, February.
  64. Apostolos Dasilas, 2009. "The ex-dividend day stock price anomaly: evidence from the Greek stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(1), pages 59-91, March.
  65. Caprio, Lorenzo & Croci, Ettore, 2008. "The determinants of the voting premium in Italy: The evidence from 1974 to 2003," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2433-2443, November.
  66. Amoako-Adu, Ben & Smith, Brian F., 2001. "Dual class firms: Capitalization, ownership structure and recapitalization back into single class," Journal of Banking & Finance, Elsevier, vol. 25(6), pages 1083-1111, June.
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