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Investor Tax Heterogeneity And Ex Dividend Day Trading Volume The Effect Of Dividend Yield And Institutional Ownership Phd
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Book Synopsis Investor Tax Heterogeneity and Ex-Dividend Day Trading Volume - the Effect of Dividend Yield and Institutional Ownership by : Dan S. Dhaliwal
Download or read book Investor Tax Heterogeneity and Ex-Dividend Day Trading Volume - the Effect of Dividend Yield and Institutional Ownership written by Dan S. Dhaliwal and published by . This book was released on 2004 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: We demonstrate how the level of institutional ownership as a measure of tax-induced investor heterogeneity impacts the trading volume effect of dividend yield around ex-dividend days. Cross-sectional tests support the tax-motivated trading hypothesis: 1) Ex-day excess trading volume increases in dividend yield and this positive relation is a concave quadratic function of the level of institutional ownership. 2) The volume effect of dividend yield peaks when the level of institutional ownership is at 32.18% - lower than 50%, consistent with the view that institutional investors may be more risk tolerant than individual investors. 3) Across tax regimes, some support is also found for the ex-day tax-motivated trading hypothesis. We contribute to the literature by considering the interaction between payout policy and ownership structure in explaining the variation in ex-day excess trading volume.
Book Synopsis Investor Tax Heterogeneity and Ex-Dividend Day Trading Volume - The Effect of Dividend Yield and Institutional Ownership (PHD). by : Zhen Li
Download or read book Investor Tax Heterogeneity and Ex-Dividend Day Trading Volume - The Effect of Dividend Yield and Institutional Ownership (PHD). written by Zhen Li and published by . This book was released on with total page 0 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 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 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 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 2018-03-02 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 Investor's Heterogeneity, Prices, and Volume Around the Ex-dividend Day by : Roni Michaely
Download or read book Investor's Heterogeneity, Prices, and Volume Around the Ex-dividend Day written by Roni Michaely and published by . This book was released on 1994 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Tax-induced Trading Around the Ex-dividend Date by : Margaréta Ilková
Download or read book Tax-induced Trading Around the Ex-dividend Date written by Margaréta Ilková and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This research examines the trading behavior of investors on the French stock market during the ex-dividend period, between 2003 and 2008. The analysis of the French Tax Code confirms, the capital gains and the dividends are taxed in a different manner, hence the fiscal system creates a tax heterogeneity among different group of stockholders. Consequently, it creates an opportunity for tax-induced trading several days around the ex-date. Our empirical results show significant abnormal trading volumes during the ex-dividend period. The excess trading volumes are the most pronounced in 2003 and 2004, when the investors were heterogeneous not only with respect to the tax rates, but as well with respect to the pre-tax value of dividends. On the other hand, the lowest trading volumes are recorded in 2008 due to equilibration of capital gains and dividend taxation. Putting these three observations together, one may conclude, that in fact, some tax-motivated trading is taking place on the French stock market.
Book Synopsis Taxes and Valuation by : Oliver Zhen Li
Download or read book Taxes and Valuation written by Oliver Zhen Li and published by . This book was released on 2005 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: I test whether and how shareholder income taxes affect the market response to dividend surprises. Under the US tax system, dividends are historically taxed at a higher rate than capital gains and thus receive a tax-related penalty. I provide evidence that the dividend tax penalty partially offsets the positive signaling and agency cost effects of dividends, and that the presence of tax advantaged institutional investors, proxied for by institutional ownership and the frequency of institutional trading, mitigates the negative dividend tax effect. My results support the notion that taxes impact valuation. I contribute to the literature by separating dividends' negative tax effect from their positive signaling and agency cost effects. My analysis also suggests that in event study settings, the frequency of institutional trading may be a more reliable proxy for investor tax attributes than institutional ownership.
Book Synopsis Institutional Trading Around the Ex-Dividend Day by : Andrew Ainsworth
Download or read book Institutional Trading Around the Ex-Dividend Day written by Andrew Ainsworth and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study uses the trading records of institutional equity funds to examine their ex-dividend trading behaviour. We argue that trading is influenced by the tax incentives facing the fund, the characteristics of individual stocks and by changes in tax legislation. In aggregate, institutions trade to avoid the dividend and franking credit. Changes in tax incentives and the fund's tax status also affect ex-dividend day trading, with unit trusts dominating the dividend avoidance trades. The results indicate that taxes, transactions costs and the cum-dividend price run-up influence the trading of institutional investors around the ex-dividend day.
Book Synopsis Trading Volume with Private Valuation by : Roni Michaely
Download or read book Trading Volume with Private Valuation written by Roni Michaely and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We test a theory of the interaction between investors' heterogeneity, risk, transaction costs, and trading volume. We take advantage of the specific nature of trading motives around the distribution of cash dividends, namely the costly trading of tax shields. Consistent with the theory, we show that when trades occur because of differential valuation of cash flows, an increase in risk or transaction costs reduces volume. We also show that the non-systematic risk plays a significant role in determining the volume of trade. Finally, we demonstrate that trading volume is positively related to the degree of heterogeneity and the incentives of the various groups to engage in trading.
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 1994 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Determinants of Institutional Ownership by : Deon Strickland
Download or read book Determinants of Institutional Ownership written by Deon Strickland and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates whether the tax disadvantage of dividends results in a relation between institutional portfolio allocations and dividend yield. I analyze the holdings of tax-exempt and taxable institutional investors. Controlling for size, performance, and risk, I find that taxable institutional owners prefer low yield stocks while tax-exempt investors do not exhibit a preference for either high or low yield securities. In addition, I find that the magnitude of the stock price reaction to the announcement of a dividend change is negatively related to the ownership level of taxable institutional investors. This evidence is consistent with the hypothesis that firms with greater taxable investor ownership have smaller price reactions to dividend changes because the information in the dividend change is offset by an increase or decrease in dividend yield. These findings are broadly consistent with the existence of tax-induced dividend clienteles.
Book Synopsis Institutional Investor Heterogeneity and the Information Content of Dividends by : Bixuan Zhang
Download or read book Institutional Investor Heterogeneity and the Information Content of Dividends written by Bixuan Zhang and published by . This book was released on 2017 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on Amihud and Li's (2006) and DeAngelo, DeAngelo, and Skinner's (2004) findings on the "disappearing dividends" phenomenon documented by Fama and French (2001), we examine the relation between institutional holdings and information content of dividends across different payer groups. We find that the increase of institutional holdings mainly contribute to firms' declining information content of dividend change announcements, and this effect is stronger and concentrated in bottom payers. Furthermore, the change of holdings owned by institutional investors with different incentive to monitor a firm's governance has distinct effects on the decline of information content across top and bottom payers. Our results indicate that for top payers, only the increase of ownership held by motivated monitors is negatively associated with the information content of dividends. On the contrary, the information content conveyed by dividends in bottom payers is sensitive to all kinds of institutional holdings, including that are generally regarded as unconcerned about firms' governance.
Book Synopsis Ex-Dividend Day Price and Volume by : Yi Zhang
Download or read book Ex-Dividend Day Price and Volume written by Yi Zhang and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the impact of the 2003 dividend tax cut, which removes the differential taxation between dividends and capital gains for individual investors, on the ex-dividend day price and trading volume. We find the ex-dividend day price and volume are affected by taxes, risk, and transaction costs. The ex-dividend day price drop ratio (excess return) increases (decreases) and dividend clienteles weaken after the tax cut. Ex-dividend day abnormal volume among high dividend yield stocks decreases after the tax cut consistent with a diminished motivation for tax-induced trading. Our results suggest that individual investors have a measurable effect on the ex-dividend day price and trading volume.
Book Synopsis Individual Investors' Dividend Tax and Corporate Payout Policies - Evidence from a Reform that Ties the Dividend Tax Rate to Share Holding Period by : Oliver Zhen Li
Download or read book Individual Investors' Dividend Tax and Corporate Payout Policies - Evidence from a Reform that Ties the Dividend Tax Rate to Share Holding Period written by Oliver Zhen Li and published by . This book was released on 2014 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2012 Dividend Tax Reform in China uniquely ties individual investors' dividend tax rates to the length of their share holding period. We find that firms facing a reduction in their individual investors' dividend tax rate are more likely to increase dividend payout, initiate dividends, and are less likely to omit dividends, compared with firms facing an increase in their individual investors' dividend tax rate. Such an effect is concentrated in firms with a low level of agency cost. In addition, investors respond to this tax law change by reducing trading activities before the cum-dividend day to avoid entering into a higher dividend tax bracket. Further, stock return patterns on the ex-dividend day suggest that reduced trading activities lower the marginal investor's dividend tax penalty. Overall, our evidence enhances the notion that individual investors' tax profiles shape firms' payout policies.
