Access the full text.
Sign up today, get DeepDyve free for 14 days.
Loading next page...
/lp/wiley/ex-dividend-day-behavior-in-the-absence-of-taxes-and-price-9M3CHw6emn
References (98)
-
Alon Brav, Campbell Harvey, J. Graham, Roni Michaely (2003)
Payout Policy in the 21st CenturyPublic Economics eJournal
-
D. Bellamy (1994)
Evidence of imputation clienteles in the Australian equity marketAsia Pacific Journal of Management, 11
-
Naranjo Naranjo, Nimalendran Nimalendran, Ryngaert Ryngaert (2000)
Time Variation of Ex?Day Stock Returns and Corporate Dividend CaptureJournal of Finance, 55
-
P. Kadapakkam, Valeria Martinez (2008)
Ex-dividend returns: The Mexican puzzleJournal of Banking and Finance, 32
-
Sven-Olov Daunfeldt (2002)
Tax Policy Changes and Ex-Dividend Behavior: The Case of SwedenEuropean Finance Association Meetings (EFA) (Archive)
-
Roni Michaely, Jean-Luc Vila (1996)
Trading Volume with Private Valuation: Evidence from the Ex-Dividend DayReview of Financial Studies, 9
-
Roni Michaely, Jean-Luc Vila, Jiang Wang (1996)
A Model of Trading Volume with Tax-Induced Heterogeneous Valuation and Transaction CostsJournal of Financial Intermediation, 5
-
J. Bartholdy, Kate Brown (1999)
Ex-dividend Day Pricing in New ZealandAccounting and Finance, 39
-
J. Graham, Roni Michaely, Michael Roberts (2003)
Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing Before and after DecimalizationCapital Markets: Market Microstructure eJournal
-
Frank Frank, Jagannathan Jagannathan (1998)
Why Do Stock Prices Drop by Less than the Value of the DividendJournal of Financial Economics, 47
-
Sandra Callaghan, C. Barry (2003)
Tax-Induced Trading of Equity Securities: Evidence from the ADR MarketJournal of Finance, 58
-
Kadapakkam Kadapakkam (2000)
Reduction of Constraints on Arbitrage Trading and Market EfficiencyJournal of Finance, 55
-
Leonie Bell, T. Jenkinson (2000)
DEPARTMENT OF ECONOMICS DISCUSSION PAPER SERIES NEW EVIDENCE OF THE IMPACT OF DIVIDEND TAXATION AND ON THE IDENTITY OF THE MARGINAL INVESTOR -
W. Shaw (1991)
An Examination of Ex‐Dividend Day Stock Price Movements: The Case of Nontaxable Master Limited Partnership DistributionsJournal of Finance, 46
-
F. Magiera (2002)
New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal InvestorCfa Digest, 32
-
R. Green, Kristian Rydqvist (1999)
Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds ☆Journal of Financial Economics, 53
-
Kenneth Eades, Patrick Hess, E.Han Kim (1984)
On interpreting security returns during the ex-dividend periodJournal of Financial Economics, 13
-
Stephen Brown, Jerold Warner (1980)
MEASURING SECURITY PRICE PERFORMANCEJournal of Financial Economics, 8
-
J. Long (1978)
The market valuation of cash dividends: A case to considerJournal of Financial Economics, 6
-
R. McDonald (2001)
Cross-Border Investing with Tax Arbitrage: The Case of German Dividend Tax CreditsReview of Financial Studies, 14
-
R. Bali, Gailen Hite (1998)
Ex dividend day stock price behavior: discreteness or tax-induced clienteles?Journal of Financial Economics, 47
-
Shing-yang Hu, Yun-lan Tseng (2004)
Who Wants to Trade Around Ex-Dividend Days?Emerging Markets: Finance
-
M. Lasfer (1995)
Ex‐Day Behavior: Tax or Short‐Term Trading EffectsJournal of Finance, 50
-
Oliver Li (2005)
Trading Clienteles, Tax Attributes, and Ex-Dividend ReturnsCapital Markets: Market Microstructure
-
Kiyoshi Kato, Uri Loewenstein (1995)
The ex-dividend-day behavior of stock prices: the case of JapanReview of Financial Studies, 8
-
Michael Barclay (1987)
Dividends, taxes, and common stock prices: The ex-dividend day behavior of common stock prices before the income taxJournal of Financial Economics, 19
-
Fedenia Fedenia, Grammatikos Grammatikos (1993)
Risk Premia and the Ex?Dividend Stock Price BehaviorJournal of Banking and Finance, 17
-
John Grahama, Campbell Harveya, Roni Michaelyc (2005)
Payout policy in the 21 st century -
(2007)
Taxes and Ex-Day Behavior in Europe, -
Roni Michaely, Jean-Luc Vila (1995)
Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend DayJournal of Financial and Quantitative Analysis, 30
-
Mark Fedenia, Theoharry Grammatikos (1993)
Risk premia and the ex-dividend stock price behavior: Empirical evidence☆Journal of Banking and Finance, 17
-
A. Kalay (1982)
The Ex-Dividend Day Behavior of Stock Prices; a Re-Examination of the Clientele Effect: A ReplyJournal of Finance, 37
-
Kato Kato, Loewenstein Loewenstein (1995)
The Ex?Dividend Day Behavior of Stock PricesThe Review of Financial Studies, 8
-
A. Clarke (1992)
The Ex‐Dividend Day Behaviour of Australian Share Prices Pre and Post ImputationManagerial Finance, 18
-
(1988)
Stock Market Regularities: A Synthesis of the Evidence and Explanations -
Bjarne Florentsen, Kristian Rydqvist (2002)
Ex-Day Behavior When Investors and Professional Traders Assume Reverse Roles: The Case of Danish Lottery BondsJournal of Financial Intermediation, 11
-
Jennifer Koski (1996)
A Microstructure Analysis of Ex-Dividend Stock Price Behavior Before and After the 1984 and 1986 Tax Reform ActsThe Journal of Business, 69
-
Michaely Michaely, Murgia Murgia (1995)
The Effect of Tax Heterogeneity on Prices and Volume around the Ex?Dividend DayReview of Financial Studies, 8
-
C. Cloyd, Oliver Li, C. Weaver (2006)
Ticks and Tax: The Effects of Price Discreteness and Taxation on Ex-Dividend Day ReturnsJournal of The American Taxation Association, 28
-
Roni Michaely, Maurizio Murgia (1995)
The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock ExchangeReview of Financial Studies, 8
-
Merton Miller, F. Modigliani (1961)
DIVIDEND POLICY, GROWTH, AND THE VALUATION OF SHARESThe Journal of Business, 34
-
Elton Elton, Gruber Gruber, Blake Blake (2005)
Marginal Stockholder Tax Effects and Ex?Dividend?Day Price BehaviorReview of Economics and Statistics, 87
-
L. Booth, D. Johnston (1984)
The Ex‐Dividend Day Behavior of Canadian Stock Prices: Tax Changes and Clientele EffectsJournal of Finance, 39
-
J. Boyd, R. Jagannathan (1994)
Ex-dividend price behavior of common stocksStaff Report
-
Karpoff Karpoff, Walking Walking (1988)
Short?Term Trading Around Ex?Dividend DaysJournal of Financial Economics, 21
-
Jennifer Koski, John Scruggs (1998)
Who trades around the ex-dividend day? Evidence from NYSE audit file dataFinancial Management, 27
-
Tongshu Ma, Keith Jakob (2005)
Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price BehaviorCapital Markets: Market Microstructure eJournal
-
Graham Graham, Michaely Michaely, Roberts Roberts (2003)
Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex?Dividend Pricing before and after DecimalizationJournal of Finance, 58
-
Mark Grinblatt, Ronald Masulis, S. Titman (1984)
The Valuation Effects of Stock Splits and Stock DividendsIO: Empirical Studies of Firms & Markets
-
(1985)
Taxes and Corporate Financial Management -
Kojo Menyah (1993)
EX-DIVIDEND EQUITY PRICING UNDER UK TAX REGIMESJournal of Business Finance & Accounting, 20
-
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?S&P Global Market Intelligence Research Paper Series
-
Theoharry Grammatikos (1989)
Dividend Stripping, Risk Exposure, and the Effect of the 1984 Tax Reform Act on the Ex-dividend Day BehaviorThe Journal of Business, 62
-
Merton Miller, Myron Scholes (1982)
Dividends and Taxes: Some Empirical EvidenceJournal of Political Economy, 90
-
(1988)
Stock Market Regularities: A Synthesis of the Evidence and Explanations, in E. Dimson, Ed.: Stock Market Volatilities -
S. Dutta, V. Jog, Samir Saadi (2004)
Re-Examination of the Ex-Dividend Day Behaviour of Canadian Stock PricesCapital Markets: Market Microstructure
-
Miller Miller, Scholes Scholes (1982)
Dividends and TaxesJournal of Political Economy, 90
-
J. Woolridge (1983)
Dividend Changes and Security PricesJournal of Finance, 38
-
James Campbell, J. Beránek (1955)
STOCK PRICE BEHAVIOR ON EX-DIVIDEND DATESJournal of Finance, 10
-
Boyd (1994)
Ex-Dividend Price Behavior of Common StocksReview of Financial Studies, 7
-
N. Travlos, Nikolaos Milonas, J. Xiao, Cunkai Tan (2002)
The Ex-Dividend Day Stock Price Behavior in the Chinese Stock MarketEFMA 2002 London Meetings (Archive)
-
Murray Frank, R. Jagannathan (1998)
Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxesStaff Report
-
Josef Lakonishok, Theo Vermaelen (1986)
Tax-induced trading around ex-dividend daysJournal of Financial Economics, 16
-
Callaghan (2003)
Tax-induced Trading of Equity SecuritiesJournal of Finance, 58
-
Kalay Kalay (1982)
The Ex?Dividend Day Behavior of Stock PricesJournal of Finance, 37
-
E. Elton, M. Gruber (1970)
Marginal Stockholder Tax Rates and the Clientele EffectThe Review of Economics and Statistics, 52
-
J. Poterba (1986)
The market valuation of cash dividends: The citizens utilities case reconsideredJournal of Financial Economics, 15
-
Michaely Michaely, Vila Vila (1996)
Trading Volume with Private ValuationReview of Financial Studies, 9
-
Bali (1998)
Ex-Dividend Day Stock Price BehaviorJournal of Financial Economics, 47
-
C. Cloyd, Oliver Li, C. Weaver (2004)
Ticks and Tax: The Joint Effects of Price Discreteness and Taxation on Ex Dividend Day ReturnsCorporate Finance: Capital Structure & Payout Policies eJournal
-
Jerry Green (1980)
Taxation and the Ex-Dividend Day Behavior of Common Stock PricesSPGMI: Compustat Fundamentals (Topic)
-
David Dubofsky (1992)
A Market Microstructure Explanation of Ex-Day Abnormal ReturnsFinancial Management, 21
-
C. Barker (1959)
PRICE CHANGES OF STOCK‐DIVIDEND SHARES AT EX‐DIVIDEND DATESJournal of Finance, 14
-
Green Green, Rydqvist Rydqvist (1999)
Ex?Day Behavior with Dividend Preference and Limitations to Short?term ArbitrageJournal of Financial Economics, 53
-
Tongshu Ma, Keith Jakob (2004)
Are Ex-Day Dividend Clientele Effects Dead? Dividend Yield Verses Dividend SizeAuditing
-
Barclay (1987)
Dividends, Taxes, and Common Stock Prices before the Income TaxJournal of Financial Economics, 13
-
Grinblatt Grinblatt, Masulis Masulis, Titman Titman (1984)
The Valuation Effects of Stock Splits and Stock DividendsJournal of Financial Economics, 13
-
D. Heath, R. Jarrow (1988)
Ex-dividend Stock Price Behavior and Arbitrage OpportunitiesThe Journal of Business, 61
-
Keith Jakob, Tongshu Ma (2007)
Are ex‐day dividend clientele effects dead? Dividend yield versus dividend size -
D. Durand, Alan May (1960)
THE EX‐DIVIDEND BEHAVIOR OF AMERICAN TELEPHONE AND TELEGRAPH STOCK*Journal of Finance, 15
-
P. Hietala (1990)
Equity markets and personal taxation: The ex-dividend day behaviour of Finnish stock pricesJournal of Banking and Finance, 14
-
Michaely Michaely (1991)
Ex?Dividend Day Stock Price BehaviorJournal of Finance, 46
-
E. Elton, M. Gruber, Joel Rentzler (1984)
The Ex-Dividend Day Behavior of Stock Prices; a Re-Examination of the Clientele Effect: A CommentJournal of Finance, 39
-
Roni Michaely (1991)
Ex‐Dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act*Journal of Finance, 46
-
Jonathan Karpoff, Ralph Walkling (1988)
Short-term trading around ex-dividend days: Additional evidenceJournal of Financial Economics, 21
-
P. Kadapakkam (2000)
Reduction of Constraints on Arbitrage Trading and Market Efficiency: An Examination of Ex‐Day Returns in Hong Kong after Introduction of Electronic SettlementJournal of Finance, 55
-
Keith Jakob, Tongshu Ma (2004)
Tick size, NYSE rule 118, and ex-dividend day stock price behaviorJournal of Financial Economics, 72
-
A. Naranjo, M. Nimalendran, Michael Ryngaert (2000)
Time Variation of Ex-Dividend Day Stock Returns and Corporate Dividend Capture: A ReexaminationJournal of Finance, 55
-
George Athanassakos, D. Fowler (1993)
New Evidence on the Behavior of Canadian Stock Prices in the Days Surrounding the Ex-Dividend Day, 32
-
Josef Lakonishok, Theo Vermaelen (1983)
Tax Reform and Ex‐Dividend Day BehaviorJournal of Finance, 38
-
E. Elton, M. Gruber, Christopher Blake (2005)
Marginal Stockholder Tax Effects and Ex-Dividend-Day Price Behavior: Evidence From Taxable Versus Nontaxable Closed-End FundsReview of Economics and Statistics, 87
-
H. White (1980)
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for HeteroskedasticityEconometrica, 48
-
Kenneth Eades, Patrick Hess, E. Kim (1994)
Time-Series Variation in Dividend PricingJournal of Finance, 49
-
T. Copeland (1979)
Liquidity Changes Following Stock SplitsJournal of Finance, 34
-
J. Poterba, L. Summers (1984)
New Evidence that Taxes Affect the Valuation of DividendsNBER Working Paper Series
-
N. Travlos, Nikolaos Milonas (2001)
The Ex-Dividend Day Stock Price Behavior in the Athens Stock ExchangeEuropean Financial Management Association Meetings (EFMA) (Archive)
-
Jonathan Karpoff, Ralph Walkling (1990)
Dividend capture in NASDAQ stocksJournal of Financial Economics, 28
-
P. Brown, T. Walter (1986)
Ex-Dividend Day Behaviour of Australian Share PricesAustralian Journal of Management, 11
- Publisher
- Wiley
- Copyright
- © 2008 The Authors. Journal compilation © International Review of Finance Ltd. 2008
- ISSN
- 1369-412X
- eISSN
- 1468-2443
- DOI
- 10.1111/j.1468-2443.2008.00078.x
- Publisher site
- See Article on Publisher Site
Abstract
ABSTRACT We examine the ex‐dividend day behavior in a unique setting where (1) there are neither taxes on dividends nor on capital gains, (2) stock prices have been decimalized, (3) dividends are distributed annually, and (4) we have data that enable us to examine bid–ask bounce effects. In this economy, any price decline that is smaller than the dividends cannot be attributed to taxes and price discreteness. Like previous studies, we find that the stock price drops by less than the amount of dividends and there is a significant positive ex‐day return. By examining abnormal volumes around the ex‐dividend day, we find no evidence of short‐term trading. We are able to account for our results using market microstructure models. When the impact of market microstructure is taken into account, the ex‐dividend drop is not significantly different from the value of the dividend paid.
Journal
International Review of Finance – Wiley
Published: Sep 1, 2008