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An Analysis Of Ex Dividend Day Abnormal Trading Volumes And Share Price Changes In The Australian Equity Market
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Book Synopsis An Analysis of Ex-dividend Day Abnormal Trading Volumes and Share Price Changes in the Australian Equity Market by : David Ewan Bellamy
Download or read book An Analysis of Ex-dividend Day Abnormal Trading Volumes and Share Price Changes in the Australian Equity Market written by David Ewan Bellamy and published by . This book was released on 2002 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investors' Heterogeneity, Prices, and Volume Around the Ex- Dividend Day by : Roni Michaely
Download or read book Investors' Heterogeneity, Prices, and Volume Around the Ex- Dividend Day written by Roni Michaely and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the relationship between tax heterogeneity and the behavior of stock prices and trading volume around the ex-dividend day within an equilibrium framework. We conclude that, even in a world without transaction costs, the price drop on the ex-day need not be equal to the dividend amount. Our model accounts for the higher market trading volume around the ex-day, and shows this to be a function of tax heterogeneity among traders. We show that the volume of trade around the ex-day contains information about investors' tax preferences above and beyond the information contained in the ex-day price alone. Consistent with the model's predictions, our empirical analysis reveals that as the risk associated with the ex-dividend day increases, or tax heterogeneity decreases, trading volume decreases.
Book Synopsis The Influence of Foreign Investors on the Ex Dividend Day Behaviour of Australian Equities by : Justin J. Wood
Download or read book The Influence of Foreign Investors on the Ex Dividend Day Behaviour of Australian Equities written by Justin J. Wood and published by . This book was released on 1991 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Investors' Heterogeneity, Prices, and Volume Around the Ex-Dividend Day (Classic Reprint) by : Roni Michaely
Download or read book Investors' Heterogeneity, Prices, and Volume Around the Ex-Dividend Day (Classic Reprint) written by Roni Michaely and published by Forgotten Books. This book was released on 2018-01-29 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Investors' Heterogeneity, Prices, and Volume Around the Ex-Dividend Day Our analysis shows that unless a perfect tax clientele exists, it is not possible to infer tax rates from price alone. [by a perfect tax clientele we mean that each tax group hold different securities, and all trading is intra-group trading. See Miller and Modigliani (1961) and Elton and Gruber However, the cross-sectional distribution of tax rates can be inferred by using both price and volume data. This point can be illustrated using the following stylized example. Assume that there are three groups of traders in the marketplace with a marginal rate of substitution between dividends and capital gains income of and respectively. Assume further that the average price drop relative to the dividend amount is Using the standard analysis, we may conclude that the second group dominates the ex-dividend day price determination. However. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Book Synopsis Ex-Dividend Day Stock Price Anomaly by : Apostolos Dasilas
Download or read book Ex-Dividend Day Stock Price Anomaly written by Apostolos Dasilas and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the ex-dividend price and trading volume behaviour in the Greek stock market. The examined period spans over the period 2000-2004. We use both the standard event study methodology and the regression analysis in order to assess the ex-dividend stock price anomaly. We find that stock prices drop less by than the dividend amount. By examining abnormal returns as well as abnormal trading volume around the ex-dividend day, we find strong evidence of short-term trading which is consistent with the presence of dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm that the short-term trading hypothesis explains the ex-day stock price anomaly in Greece.
Book Synopsis The Effect of Tax Heterogeneity on Prices and Volume Around the Ex-Dividend Day by : Roni Michaely
Download or read book The Effect of Tax Heterogeneity on Prices and Volume Around the Ex-Dividend Day written by Roni Michaely and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: To investigate the effect of taxation on stock price and trading volume around the ex-dividend day, we use the Italian stock market, where dividends on two classes of stock are taxed differently. When all investors face identical tax rates on dividends (holders of savings stocks), we find that the average price decline between the cum-and the ex-dividend day equals the after-tax valuation of dividends, and that there is no excess volume around the ex-day. When the tax rate on dividend income varies across investors (the common stock sample), we find significant excess volume around the ex-dividend day, as well as an average price decline smaller than the minimum after-tax valuation of dividends. The latter finding is inconsistent with the pure tax-trading hypothesis. It may be explained by the confounding registration effect: individual investors sell the stock prior to the ex-day to maintain their fiscal anonymity. However, a study of block trading activity, which is done by traders who are not subject to the registration effect, shows evidence consistent with the notion that a significant portion of the ex-dividend day trading is motivated by the differential valuation of dividends relative to capital gains. We also show that higher transaction costs result in higher ex-dividend day excess returns and lower abnormal volume. This finding is consistent with quot;profit eliminationquot; activity by institutions and corporations.
Book Synopsis The Ex-Dividend Day Behavior of American Depository Receipts by : Larry R. Gorman
Download or read book The Ex-Dividend Day Behavior of American Depository Receipts written by Larry R. Gorman and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We compare the ex-dividend day stock returns and trading volume of foreign stocks that trade in U.S. markets as American Depository Receipts (ADRs) with the ex-day returns and volume of a matched sample of U.S. stocks. This experiment allows us to investigate whether differences in the way dividends are paid and/or foreign currency risk affect the stock returns and trading volume of ADRs on the ex-dividend day. If these factors inhibit dividend capture in ADRs, then ADRs should earn larger ex-day returns than U.S. stocks, and their ex-day trading volume should be lower. We present evidence consistent with these hypotheses. The results of a cross-sectional regression analysis of ex-day returns and volume are not consistent with a foreign exchange risk premium suppressing dividend capture in ADRs, however, suggesting that differences in dividend payment policies account for the lower level of dividend capture in ADRs.
Book Synopsis Re-Examination of the Ex-Dividend Day Behaviour of Canadian Stock Prices by : Shantanu Dutta
Download or read book Re-Examination of the Ex-Dividend Day Behaviour of Canadian Stock Prices written by Shantanu Dutta and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the ex-dividend day price and volume behaviour in the Canadian stock market and show evidence on the co-existence of both the tax and short-term trading effects. By examining the abnormal returns as well as abnormal volumes around ex-day we find strong evidence of short-term trading which is consistent the presence of dividend-capturing activities around the ex-dividend day. By examining the abnormal returns before (after) the ex-dividend day, we also find evidence of the buying (selling) pressure created by short-term traders.
Book Synopsis Investors' Heterogeneity, Prices, and Volume Around the Ex-Dividend Day by : Roni Michaely
Download or read book Investors' Heterogeneity, Prices, and Volume Around the Ex-Dividend Day written by Roni Michaely and published by Palala Press. This book was released on 2015-09-08 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Book Synopsis Insights Into the Ex-Dividend Behavior of Stock Prices by : C Justin Robinson
Download or read book Insights Into the Ex-Dividend Behavior of Stock Prices written by C Justin Robinson and published by . This book was released on 2016 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper adds to the literature on the behavior of stock prices around the ex-dividend date by providing evidence on the behavior of stock returns and trading volumes around the ex-dividend date in the unique environment of the Jamaica Stock Exchange. The Jamaica Stock Exchange is characterized by two major changes to the dividend tax rate in recent years and the absence of any capital gains tax, short selling or market makers. Using the event-study methodology, the paper finds that changes in the dividend tax rate produces major changes in the price drop ratio and abnormal returns in one instance but not in the other, while trading volumes increase around the ex-dividend date regardless of the tax regime. These results suggest that while tax differentials between capital gains and dividends can play a major role in the ex-dividend behavior of stock prices, it may not provide a complete explanation of such.
Book Synopsis Who Trades Around the Ex-Dividend Day? Evidence from NYSE Audit File Data by : Jennifer L. Koski
Download or read book Who Trades Around the Ex-Dividend Day? Evidence from NYSE Audit File Data written by Jennifer L. Koski and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze trading volume around ex-dividend days. We use NYSE audit file data to decompose total trading volume by trader type. These data permit us to directly test detailed hypotheses regarding the identity of traders around the ex-dividend day. We are able to distinguish between dividend-capture trading by taxable corporations and short-term trading by securities dealers. We find evidence of significant abnormal volume by securities dealers that is positively related to dividend yield and negatively related to transaction costs. We also document some abnormal trading volume consistent with corporate dividend-capture trading, but little evidence of tax-clientele trading.
Book Synopsis Stock Market Reactions to Dividend Announcements by : Christoph Schleicher
Download or read book Stock Market Reactions to Dividend Announcements written by Christoph Schleicher and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the effects of dividend announcements on stock prices and trading volume in the Austrian stock market. Abnormal returns are established as the difference between actual returns and expected returns generated by the Market Model. We use the model of expected dividends such that any change in the announced dividend-stream is unanticipated. Our results provide evidence that announced dividend changes bring new information to the market and that stock prices move in the same direction as dividends. In addition, we find that stock prices react rather quickly to the new information. We also report an increase in stock return volatility in the cases of announced constant dividends and dividend decreases, indicating a heterogeneous interpretation of the signal at the individual level. Finally we find that trading volume on average shows a significant increase around the announcement date, supporting the hypothesis that dividend changes in either direction induce investors to revise their portfolios.
Book Synopsis Ex-Dividend Day Behaviour in the Absence of Taxes and Price Discreteness by : Khamis Al-Yahyaee
Download or read book Ex-Dividend Day Behaviour in the Absence of Taxes and Price Discreteness written by Khamis Al-Yahyaee and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the ex-dividend day behaviour 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 can not 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 to the value of the dividend paid.
Book Synopsis An International Analysis of Factors Affecting Ex-dividend Day Stock Prices by : J. Thomas Connelly
Download or read book An International Analysis of Factors Affecting Ex-dividend Day Stock Prices written by J. Thomas Connelly and published by . This book was released on 2007 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate stock price changes on the ex-dividend day in 37 countries. We hypothesize that, in addition to taxes, other market frictions should also affect ex-dividend day stock prices in world markets. Empirical results show that mean price drop ratios deviate significantly from their predicted values based on differential tax rates between dividends and capital gains, and that proxies for agency conflicts and information asymmetry also help explain these cross-country deviations. After controlling for these factors, the weighted average of investors' tax rate is reflected in the ex-dividend day price movements. The results are consistent with the idea that agency conflicts, information asymmetry and differential taxation of dividends and capital gains are all important factors affecting ex-dividend day stock prices in world markets.
Book Synopsis Tax Heterogeneity and Trading Volume Around the Ex-dividend Day by : Priit Sander
Download or read book Tax Heterogeneity and Trading Volume Around the Ex-dividend Day written by Priit Sander and published by . This book was released on 2007 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Price and Volume Reactions to Cash Dividend Announcements by : Jack J.W. Yang
Download or read book Price and Volume Reactions to Cash Dividend Announcements written by Jack J.W. Yang and published by . This book was released on 2014 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are stock market investors concerned with obtaining abnormal returns by acquiring certain information? This paper studied the effect of ex-dividend date for cash-dividend policy. We try to demonstrate the existence of abnormal returns by examining stock trading situations before and after the ex-dividend date. We find that abnormal returns exist for listed Taiwan firms before and after the ex-dividend date. If an investor buys the stock of a firm who adopts a cash-dividend payout at the closing price 11 days before the ex-dividend date, and sells them at the closing price 10 days after the ex-dividend date, the investor will obtain an average 2.13% abnormal return, regardless of the transaction cost. This paper further analyzes whether firms adopting cash-dividend payouts have different abnormal returns on stock price performance depending on different variables. Yilmaz and Gulay's (2006) method of analyzing abnormal returns of stock prices was adopted. Further studies were undertaken of the three dimensions of cash-dividend payout ratio, stock trading turnover rate, and the firm size.
Book Synopsis The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks by : Anders Isaksson
Download or read book The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks written by Anders Isaksson and published by . This book was released on 2018 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: To explain the ex-day stock price behaviour, previous research has mostly focused on dividend yield and expected return. Most of these studies concentrated on US markets and were conducted in a stable economic condition. This paper examines the most liquid common stock (blue-chip) prices behaviour on the ex-day in a period of financial crisis and covers four major capital markets from different geographic locations (the US, the UK, Japan, and China). On the New York and Shanghai Stock Exchanges, we observe that the stock prices drop does not differ from the dividend amount on the ex-dividend day and there is no evidence of abnormal return and short-term trading. On the Tokyo Stock Exchange, the stock prices fall less than the dividend amount, which is in contrast to the London Stock Exchange, where the stock prices fall more than the dividend amount. On the Tokyo and London Stock Exchanges, we observe abnormal return and short-term trading around the ex-day.http://dx.doi.org/10.5296/ajfa.v5i1.1948.
