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An International Analysis Of Factors Affecting Ex Dividend Day Stock Prices
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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 The Ex-Dividend-Day Behavior of Stock Prices by : Kiyoshi Kato
Download or read book The Ex-Dividend-Day Behavior of Stock Prices written by Kiyoshi Kato and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a comprehensive empirical analysis of stock-price behavior around the ex-dividend day in Japan. We find that prices rise on the ex-day and that dividend-related tax effects appear to be secondary. Returns around ex-dividend days are dominated by the proximity of many ex-days to the fiscal year-end. Excess returns of 1%, which are independent of any dividend-related considerations, are higher than round-trip transaction costs on medium-sized transactions. Prices seem to imply selling pressure before, and buying pressure at the start of, the new fiscal year. These trading patterns appear to be motivated by intercorporate manipulative trading around the end of the firms' fiscal year, which are unrelated to dividends.
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 2016-11-21 with total page 46 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 Decimalization and the Ex-Dividend Behavior of Stock Prices by : Dan W. French
Download or read book Decimalization and the Ex-Dividend Behavior of Stock Prices written by Dan W. French and published by . This book was released on 2002 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we examine changes in the behavior of ex-dividend stock prices when the exchanges changed from pricing stocks in discrete intervals to decimal pricing. Based on prior models of ex-dividend behavior and price discreteness of Dubofsky and of Bali and Hite, we anticipate that the move to trading in decimals would decrease the variance of returns on all exchanges and increase the level of ex-dividend-day returns on the NYSE while reducing them on the Amex and Nasdaq.Our sample of ex-dividend-day returns covers periods slightly longer than one year before and after decimalization. For the overall sample and for each of the individual exchanges (Amex, Nasdaq and NYSE), the variances of ex-dividend returns experience a significant decrease after decimalization while the mean returns increase by a positive and significant amount. To account for the increase in ex-day returns on the Amex and Nasdaq, we develop an alternative model to explain the effect of discreteness on ex-day returns. Tests of the three models (Dubofsky's, Bali and Hite's, and ours) indicate that prior to decimalization, as expected, Dubofsky's model is better for explaining NYSE ex-day returns and ours fits the Nasdaq better. Bali and Hite's model, however, is unable to explain any of the pre-decimalization ex-day returns, including those of the Nasdaq where the Bali-Hite model might provide a reasonable description of ex-day market behavior. After decimalization, ex-dividend-day returns do not appear to follow either the scenario described by Dubofsky or by us. The most likely cause of this is that traders in the market are placing ex-dividend-day orders with limits somewhere between prices indicated by Dubofsky and by us.We also provide evidence that ex-dividend returns attributable to factors other than discreteness and the dividend yield actually declined following decimalization. Since the most obvious factor is transactions costs, we interpret this to be evidence of a reduction in ex-day returns caused by a reduction in transactions costs. We also find that the dividend yield is a significant influence on ex-dividend-day returns.
Book Synopsis Study Of Factors Affecting Dividend Yield And Dividend Payout Ratio by : Rabia Qamar
Download or read book Study Of Factors Affecting Dividend Yield And Dividend Payout Ratio written by Rabia Qamar and published by LAP Lambert Academic Publishing. This book was released on 2013 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is regarding factors like profitability, market to book value, financial leverage, lagged value of dividend, stock price and size of firm which has great effect on dividend yield and dividend payout ratio.Dividend is very important activity of an organisation.Dividend value attracts the investor or shareholder towards an organisation, without shareholder investment organisation has no fu
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 The Ex-Dividend Day Stock Price Behavior in the Chinese Stock Market by : Nickolaos G. Travlos
Download or read book The Ex-Dividend Day Stock Price Behavior in the Chinese Stock Market written by Nickolaos G. Travlos and published by . This book was released on 2002 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the ex-dividend day stock price behavior in the Chinese stock market. This market, where dividends could be either taxable or non-taxable, allows us to examine the impact of tax effects while keeping any microstructure factors constant. The findings from non-taxable stocks show that their price, on the ex-dividend day, falls by an amount that equals the dividend. For the taxable sample, stock prices of small dividend yield stocks drop proportionally to the dividend paid. For the large dividend yield stocks, the price adjustment depends on the effective tax rate on dividend income. The overall findings are consistent with the tax hypothesis.
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 Ex-dividend Day Behavior of Stock Prices by : Kiyoshi Katō
Download or read book The Ex-dividend Day Behavior of Stock Prices written by Kiyoshi Katō and published by . This book was released on 1992 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Corporate Payout Policy by : Harry DeAngelo
Download or read book Corporate Payout Policy written by Harry DeAngelo and published by Now Publishers Inc. This book was released on 2009 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: Corporate Payout Policy synthesizes the academic research on payout policy and explains "how much, when, and how". That is (i) the overall value of payouts over the life of the enterprise, (ii) the time profile of a firm's payouts across periods, and (iii) the form of those payouts. The authors conclude that today's theory does a good job of explaining the general features of corporate payout policies, but some important gaps remain. So while our emphasis is to clarify "what we know" about payout policy, the authors also identify a number of interesting unresolved questions for future research. Corporate Payout Policy discusses potential influences on corporate payout policy including managerial use of payouts to signal future earnings to outside investors, individuals' behavioral biases that lead to sentiment-based demands for distributions, the desire of large block stockholders to maintain corporate control, and personal tax incentives to defer payouts. The authors highlight four important "carry-away" points: the literature's focus on whether repurchases will (or should) drive out dividends is misplaced because it implicitly assumes that a single payout vehicle is optimal; extant empirical evidence is strongly incompatible with the notion that the primary purpose of dividends is to signal managers' views of future earnings to outside investors; over-confidence on the part of managers is potentially a first-order determinant of payout policy because it induces them to over-retain resources to invest in dubious projects and so behavioral biases may, in fact, turn out to be more important than agency costs in explaining why investors pressure firms to accelerate payouts; the influence of controlling stockholders on payout policy --- particularly in non-U.S. firms, where controlling stockholders are common --- is a promising area for future research. Corporate Payout Policy is required reading for both researchers and practitioners interested in understanding this central topic in corporate finance and governance.
Book Synopsis Intermediate Financial Theory by : Jean-Pierre Danthine
Download or read book Intermediate Financial Theory written by Jean-Pierre Danthine and published by Elsevier. This book was released on 2005-07-25 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of this authoritative textbook continues the tradition of providing clear and concise descriptions of the new and classic concepts in financial theory. The authors keep the theory accessible by requiring very little mathematical background. First edition published by Prentice-Hall in 2001- ISBN 0130174467. The second edition includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor. "This book does admirably what it sets out to do - provide a bridge between MBA-level finance texts and PhD-level texts.... many books claim to require little prior mathematical training, but this one actually does so. This book may be a good one for Ph.D students outside finance who need some basic training in financial theory or for those looking for a more user-friendly introduction to advanced theory. The exercises are very good." --Ian Gow, Student, Graduate School of Business, Stanford University Completely updated edition of classic textbook that fills a gap between MBA level texts and PHD level texts Focuses on clear explanations of key concepts and requires limited mathematical prerequisites Updates includes new structure emphasizing the distinction between the equilibrium and the arbitrage perspectives on valuation and pricing, as well as a new chapter on asset management for the long term investor
Book Synopsis Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data by : Oliver Entrop
Download or read book Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data written by Oliver Entrop and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper describes the first thorough analysis of the interest risk of German banks on an individual bank level. We develop a new method that is based on time series of accountingbased data to quantify the interest risk of banks and apply it to analyze the German banking system. We find evidence that our model yields a significantly better fit of banks' internally quantified interest rate risk than a standard approach that relies on one-point-in-time data, and that the interest rate risk differs between banks of different size and banking group. Additionally, we find structural differences between trading book and non-trading book institutions.
Download or read book Payout Policy written by and published by . This book was released on 2007 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dividend policy continues to be among the premier unsolved puzzles in finance. A number of theories have been advanced to explain dividend policy. This e-book briefly reviews the principal theories of payout policy and dividend policy and summarizes the empirical evidence on these theories. Empirical evidence is equivocal and the search for new explanation for dividends continues.
Book Synopsis Technical Analysis of the Financial Markets by : John J. Murphy
Download or read book Technical Analysis of the Financial Markets written by John J. Murphy and published by Penguin. This book was released on 1999-01-01 with total page 579 pages. Available in PDF, EPUB and Kindle. Book excerpt: John J. Murphy has updated his landmark bestseller Technical Analysis of the Futures Markets, to include all of the financial markets. This outstanding reference has already taught thousands of traders the concepts of technical analysis and their application in the futures and stock markets. Covering the latest developments in computer technology, technical tools, and indicators, the second edition features new material on candlestick charting, intermarket relationships, stocks and stock rotation, plus state-of-the-art examples and figures. From how to read charts to understanding indicators and the crucial role technical analysis plays in investing, readers gain a thorough and accessible overview of the field of technical analysis, with a special emphasis on futures markets. Revised and expanded for the demands of today's financial world, this book is essential reading for anyone interested in tracking and analyzing market behavior.
Book Synopsis International Directory of Business and Management Scholars and Research by : Deanna LaValle
Download or read book International Directory of Business and Management Scholars and Research written by Deanna LaValle and published by . This book was released on 1995 with total page 1350 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Survey Research in Corporate Finance by : H. Kent Baker
Download or read book Survey Research in Corporate Finance written by H. Kent Baker and published by Oxford University Press. This book was released on 2011-01-19 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: As there is no current book that deals extensively or exclusively with survey research in corporate finance Survey Research in Corporate Finance is the only one of its kind. For even while there are numerous books on survey methodology, none focus on this methodology as specifically applied to corporate finance. In the book, Baker, Singleton, and Velt do nothing less than provide an overview of survey methodology useful to financial researchers, synthesize the major streams or clusters of survey research in corporate finance, and offer a valuable resource and guide for those interested in conducting survey research in finance. Thus this volume will be an essential reference for practitioners, academics, and graduate students - who all must know the methodology of finance survey research. In addition to methodology, the book identifies areas that will be best served by survey-based research. Researchers will have a wealth of information regarding past surveys and will be aware of suitable candidates for future surveys. Several chapters are devoted to synthesizing survey results on major issues in finance. These will help decision makers in finance and in non-finance firms to acquire knowledge learned from years of communications between academics and practitioners.
Book Synopsis Dividends and Dividend Policy by : H. Kent Baker
Download or read book Dividends and Dividend Policy written by H. Kent Baker and published by John Wiley & Sons. This book was released on 2009-05-04 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Dividends And Dividend Policy As part of the Robert W. Kolb Series in Finance, Dividends and Dividend Policy aims to be the essential guide to dividends and their impact on shareholder value. Issues concerning dividends and dividend policy have always posed challenges to both academics and professionals. While all the pieces to the dividend puzzle may not be in place yet, the information found here can help you gain a firm understanding of this dynamic discipline. Comprising twenty-eight chapters—contributed by both top academics and financial experts in the field—this well-rounded resource discusses everything from corporate dividend decisions to the role behavioral finance plays in dividend policy. Along the way, you'll gain valuable insights into the history, trends, and determinants of dividends and dividend policy, and discover the different approaches firms are taking when it comes to dividends. Whether you're a seasoned financial professional or just beginning your journey in the world of finance, having a firm understanding of the issues surrounding dividends and dividend policy is now more important than ever. With this book as your guide, you'll be prepared to make the most informed dividend-related decisions possible—even in the most challenging economic conditions. The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals.
