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Insights Into The Ex Dividend Behavior Of Stock Prices
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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 Ex-day Behavior Or Japanese Stock Prices by :
Download or read book Ex-day Behavior Or Japanese Stock Prices written by and published by . This book was released on 1990 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Taxation and the Ex-dividend Day Behavior of Common Stock Prices by : Jerry Green
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
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 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 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 Interpreting Ex-Dividend Evidence by : James M. Poterba
Download or read book Interpreting Ex-Dividend Evidence written by James M. Poterba and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous empirical studies have attempted to measure the effect of changes in dividend policy on corporate equity values. One of the most popular study methodologies has been an examination of share price changes around ex-dividend days. Comparing the movement in a stock's price with its nominal dividend payment leads to estimates of the stock market's relative valuation of dividends and capital gains. Ex-day price studies are often interpreted as showing that investors recognize their tax liabilities and therefore discount their dividend income. These studies predict that firms which reduce their payout ratio shouldrise in value, and buttress the view that an increase in dividend taxes would reduce the value of the stock market.This study disputes these conclusions by presenting a "counterexample" which suggests that ex-dividend day studies provide limited insight into the effects of dividend taxes, or dividend policy, on corporate valuation. I analyze a firm with two different classes of common stock: one class pays taxable cash dividends, while the other pays untaxed stock dividends. On ex dividend days, the taxable-dividend shares experience a price decline equal to about seventy five percent of their dividend payment, while the untaxed stock distribution shares fall by the full value of their dividends. However, the prices of the two classes of equity do not reflect this apparent market preference for non-taxable distributions. The average price of taxable-dividend shares is approximately equal to that of the untaxed dividend shares, indicating that the market considers the two shares as equivalent. These findings are important for several reasons. First, they cast doubt on earlier conclusions, based on ex-dividend day studies, about how a change individend taxes or payout policy would affect the market value of equity capital. Second, the results may provide new insights which help to explain why firms pay dividends.They deny the view that investors hold dividend paying stocks only becau
Book Synopsis The Ex-dividend Day Behavior of Stock Prices by : Avner Kalay
Download or read book The Ex-dividend Day Behavior of Stock Prices written by Avner Kalay and published by . This book was released on 1978 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Ex-dividend Behavior of Stock Prices on the Stockholm Stock Exchange by :
Download or read book The Ex-dividend Behavior of Stock Prices on the Stockholm Stock Exchange written by and published by . This book was released on 1985 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Price Behavior of Stocks on Their Ex-dividend Dates by : Paul B. Readett
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:
Book Synopsis An Irish Insight Into the Impact of Taxation on Ex-dividend Share Price Behaviour by : Anne Marie Daly
Download or read book An Irish Insight Into the Impact of Taxation on Ex-dividend Share Price Behaviour written by Anne Marie Daly and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Ultimate Dividend Playbook by : Morningstar Inc.
Download or read book The Ultimate Dividend Playbook written by Morningstar Inc. and published by Wiley. This book was released on 2008-03-28 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many people believe that the key to success in the stock market is buying low and selling high. But how many investors have the time, talent, and luck to earn consistent returns this way? In The Ultimate Dividend Playbook: Income, Insight, and Independence for Today’s Investor, Josh Peters, editor of the monthly Morningstar DividendInvestor newsletter, shows you why you don’t have to try to beat the market and how you can use dividends to capture the income and growth you seek.
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 Essays on Ex-dividend Day Stock Price Behavior by : Shisir Paudel
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:
Book Synopsis Dividend Behavior for the Aggregate Stock Market by : Terry A. Marsh
Download or read book Dividend Behavior for the Aggregate Stock Market written by Terry A. Marsh and published by Forgotten Books. This book was released on 2015-06-16 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Dividend Behavior for the Aggregate Stock Market In this paper, we develop a model of the dividend process for the aggregate stock market. Previous research has focused almost exclusively on dividend behavior at the micro level of the individual firm. Hence, to motivate the focus here on aggregate dividend behavior, we begin with a brief review of these earlier micro studies, this to be followed by a discussion which locates the place of our aggregate analysis within this body of research. In Sections 2-5, we derive and fit our econometric model of the dividend process. In Section 6, we compare the performance of the model with other models in the literature. Although long a staple of financial management textbooks, corporate dividend policy remains a topic on which the field has failed to arrive at even a local sense of closure. Fischer Black (1976) has aptly described this lack of closure as the "dividend puzzle." The pivotal point in this puzzle is the classical work of Miller and Modigliani (1961) which demonstrated the irrelevance of dividend policy for determining the firm's cost of capital. Miller and Modigliani showed that when investors can create any payout pattern they want by selling and purchasing shares, the expected return required to induce them to hold these shares will be invariant to the way in which firms "package" gross dividend payments and new issues of stock (and/or other zero net present value transactions). Since neither the firm's expected future net cash flows nor its discount rate is affected by the choice of dividend policy per se, its current market value cannot be changed by a change in that policy. Thus, dividend policy "does not matter." 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 The Ex-dividend Behavior of Preferred Stock by : Fredric David Price
Download or read book The Ex-dividend Behavior of Preferred Stock written by Fredric David Price and published by . This book was released on 1969 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
