Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Ex Dividend Stock Price Behavior full books in PDF, epub, and Kindle. Read online Ex Dividend Stock Price Behavior ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Download or read book Ex-dividend Stock Price Behavior written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John H. Boyd
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Ex-Dividend Price Behavior of Common Stocks written by John H. Boyd and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines common stock prices around ex-dividend dates. Such price data usually contain a mixture of observations -- some with and some without arbitragers and/or dividend capturers active. Our theory predicts that such mixing will result in a nonlinear relation between percentage price drop and dividend yield -- not the commonly assumed linear relation. This prediction and another important prediction of theory are supported empirically. In a variety of tests, marginal price drop is not significantly different from the dividend amount. Thus, over the last several decades, one-for-one marginal price drop has been an excellent (average) rule of thumb.
Author : Jeff Whitworth
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (129 download)
Download or read book Do Tax Law Changes Influence Ex-Dividend Stock Price Behavior? Evidence from 1926-2005 written by Jeff Whitworth and published by . This book was released on 2008 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides new evidence that tax clienteles exist and that they influence ex-dividend stock price behavior. We test the tax model of ex-day pricing over a continuous sample period spanning all U.S. tax law changes since 1926. Our results indicate that actual ex-dividend price drop ratios (amp;ΔP/D) and market model adjusted returns are related to dividend and capital gains tax rates in the theorized manner. Consistent with the Elton and Gruber (1970) framework, corporate tax were more influential prior to 1962, when dividends were larger, while personal rates are more influential after 1962. We also find that the ex-day price movements of the highest dividend yield stocks within each quarter are driven more by corporate tax rates, while the lowest yield stocks are more influenced by personal rates. Finally, we confirm that amp;ΔP/D is positively related to the dividend yield and show that the strength of this relationship increases as the tax differential widens.
Author : Nickolaos G. Travlos
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (129 download)
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.
Author : Kiyoshi Kato
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
Author : Dan W. French
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (129 download)
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.
Author : Shishir K. Paudel
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (13 download)
Download or read book Ex-Dividend Day Stock Price Behavior - The NASDAQ Evidence written by Shishir K. Paudel and published by . This book was released on 2014 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use dividend-paying Nasdaq-listed firms as a setting to test various explanations of the ex-day price anomaly. Similar to NYSE-listed firms, on average the prices of Nasdaq-listed firms drop by less than the dividend amount on the ex-day. However, the average price-drop is half that observed for NYSE-listed firms and translates to an imputed dividend tax rate that is double the average maximum tax rate over the sample period. In addition, we find the ex-day price-drop increases in dividend yield, opposite the prediction from a tax clientele explanation. Moreover, for non-taxable distributions we find prices behave in a similar manner to taxable distributions on the ex-day, again suggesting taxes are not the primary reason for the price behavior. In sum, we find little support for tax-based explanations. We also find little support for short-term trading and market microstructure explanations. Importantly, our results are robust to transaction costs as proxied by stock price, liquidity, volatility, firm size and bid-ask spread. We supplement our analysis by investigating a subset of firms that voluntarily switch from the Nasdaq exchange to the NYSE. The average price-drop for the switching firms is similar to the Nasdaq average prior to the switch and resembles the NYSE average immediately after the switch. This change in price behavior potentially reflects a changing investor base and suggests the marginal investor of Nasdaq dividend-paying firms places relatively less importance on dividends. Overall, our results call into question the various explanations of the ex-day anomaly. Any potential explanation also needs to account for the Nasdaq evidence.
Author : Muhammad Zahedur Rahman
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Stock Price Behavior Around Ex-Dividend Day written by Muhammad Zahedur Rahman and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper the relative valuation of dividends and capital gains in the Dhaka Stock Exchange (DSE) is investigated by testing if the ex-dividend price fall equals the dividend amount. This study deals with the ex-dividend price behavior considering 83 dividend-paying stocks over the 32-window period to the ex-dividend day, which are listed on Dhaka Stock Exchange (DSE) for the period of January 2003 through December 2005. On analyzing the raw price ratio (RPR), market adjusted price ratio (MAPR), raw price drop ratio (RPD), and market adjusted price drop ratio (MAPD), the results lead us to conclude that in the DSE the ex-dividend price prices increase instead of dropped, showing a clear preference for capital gains without having any focus on dividends.
Author : Nickolaos G. Travlos
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Ex-Dividend Day Stock Price Behavior in the Athens Stock Exchange written by Nickolaos G. Travlos and published by . This book was released on 2001 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the ex-dividend day stock price behavior in the Athens Stock Exchange (ASE) over the period 1994-1999. This market is chosen because neither dividends nor capital gains are taxed and the ASE is not associated with the microstructure effects analyzed in prior studies. Our findings show that on the ex-dividend day, stock prices fall by less than the dividend paid. These findings cannot be attributed to tax effects. Although our evidence might be attributed to microstructure effects, we argue that the particular microstructure effects identified by prior studies may not be the determinant factors.
Author : Jerry Green
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (18 download)
Download or read book Taxation and the Ex-dividend Day Behavior of Common Stock Prices written by Jerry Green and published by . This book was released on 1980 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The behavior of stock prices around ex-dividend days has been suggested as evidence for tax-induced clientele effects and as a means to estimate the average effective tax rate faced by investors. In this paper these possibilities are examined theoretically and empirically. Theoretically it is shown that the measured price drop per dollar of dividend may provide a biased estimate of the effective tax rate. Looking at the volume of trade around ex-dividend days we show that the conditions under which it would be unbiased are unlikely to hold. Strong evidence, based on a broader database than that used by previous investigators, is presented for the presence of the clientele effect
Author : Shisir Paudel
Publisher :
ISBN 13 : 9781339135441
Total Pages : 200 pages
Book Rating : 4.1/5 (354 download)
Download or read book Essays on Ex-dividend Day Stock Price Behavior written by Shisir Paudel and published by . This book was released on 2015 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jennifer L. Koski
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book A Microstructure Analysis of Ex-Dividend Stock Price Behavior Before and after the 1984 and 1986 Tax Reform Acts written by Jennifer L. Koski and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article extends ex-dividend research by explicitly modeling trading at bid and ask quotations. This refinement distinguishes between buying and selling for long-term investors and short-term dividend capture traders. It also explicitly incorporates the bid-ask spread and eliminates some potential measurement errors that may bias returns. Marginal conditions are tested during 1983 and 1988, periods that span the 1984 and 1986 Tax Reform Acts. Results for long-term investors are consistent with the elimination of favorable capital gains tax rates. At observed prices, tax- neutral short-term traders cannot profit. Corporate dividend capture traders face profit opportunities during 1983 that disappear by 1988.
Author : C Justin Robinson
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (13 download)
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.
Author : Paul B. Readett
Publisher :
ISBN 13 :
Total Pages : 104 pages
Book Rating : 4.:/5 (318 download)
Download or read book The Price Behavior of Stocks on Their Ex-dividend Dates written by Paul B. Readett and published by . This book was released on 1956 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anders Isaksson
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (13 download)
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.
Author : Sandra Mortal
Publisher :
ISBN 13 :
Total Pages : 49 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Impact of Market Structure on Ex-Dividend Day Stock Price Behavior written by Sandra Mortal and published by . This book was released on 2017 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore the impact of market structure on the ex-day price anomaly. Measuring the price-drop ratio (hereafter PDR) as the ratio of the price change on the ex-day to the dividend amount, we find that the average Nasdaq PDR is significantly less than one and significantly less than the NYSE PDR. We then investigate a subset of firms that voluntary switch from Nasdaq to the NYSE and find that the PDR significantly increases after the switch suggesting that market structure impacts PDRs. We also create a matched sample and find that the Nasdaq PDR converges toward its matched NYSE counterpart, particularly after the introduction of SuperMontage. Our evidence is consistent with significant Nasdaq market structure changes reducing execution cost differences between the two exchanges and, in turn, reducing the PDR difference. Overall, our results highlight the important role market structure can play in our understanding of anomalies.
Author : Keith Jakob
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Impact of Nominal Stock Price on Ex-Dividend Price Responses written by Keith Jakob and published by . This book was released on 2016 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine whether nominal stock price can help to explain the ex-dividend day anomaly. We find that stocks with lower nominal prices have ex-dividend day price drops that are more consistent with theoretical predictions based on an efficient market. After controlling for factors that have been previously documented to influence ex-dividend day stock price behavior, price-drop-to-dividend ratios are closer to one for lower priced stocks. To further explore this phenomenon, we examine the change in the price-drop-to-dividend ratio around stock splits. Firms that split their shares have price-drop-to-dividend ratios significantly closer to one after the split. Our evidence indicates that ex-dividend day stock price behavior is influenced by the nominal price of a share and that this relation could also influence the decision to split a firm's shares.
