论文信息 - Trading volume around ex-dividend days

Trading volume around ex-dividend days

We tested how ex-day trading volume is impacted by the reduction in capital gains tax rate to 20% (May 1997) and the move to trading in 6.25¢ price increments (June 1997). We found excess trading volume around the ex-days in the pre- and post-event periods for both high- and low-yield groups. The abnormal volume falls significantly after the move to 6.25¢ for high yields indicating lower liquidity but offers little support for tax clienteles hypothesis.

Jack Clark Francis | J. C. Francis | R. Bali | Rakesh Bali

[1] Gailen L. Hite,et al. Ex dividend day stock price behavior: discreteness or tax-induced clienteles? , 1998 .

[2] A Model of Trading Volume with Tax-Induced Heterogeneous Valuation and Transaction Costs , 1996 .

[3] J. Graham,et al. Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing Before and after Decimalization , 2003 .

[4] R. Bali. Variation in ex day dividend pricing: Myth or reality? , 2003 .

[5] E. Elton,et al. The Ex-Dividend Day Behavior of Stock Prices; a Re-Examination of the Clientele Effect: A Comment , 1984 .

[6] Edwin J. Elton,et al. Marginal Stockholder Tax Rates and the Clientele Effect , 1970 .

[7] D. Dhaliwal,et al. Investor Tax Heterogeneity and Ex-Dividend Day Trading Volume , 2006 .

[8] T. Ma,et al. Tick size, NYSE rule 118, and ex-dividend day stock price behavior , 2004 .

[9] T. Ma,et al. Are Ex-Day Dividend Clientele Effects Dead? Dividend Yield Verses Dividend Size , 2004 .

[10] R. Bali. Seasonality in ex dividend day returns , 2003 .

[11] E. Rantapuska. Ex-dividend day trading: Who, how, and why? ☆: Evidence from the Finnish market , 2008 .