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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 : Felix Kreidl
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book Essays on Stock-market Behavior Around Ex-dividend Dates written by Felix Kreidl and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : Michael Jonathan Vilbert
Publisher :
ISBN 13 :
Total Pages : 188 pages
Book Rating : 4.:/5 (244 download)
Download or read book Two Essays on Dividends, Discounts and Abnormal Returns in Closed-end Investment Companies written by Michael Jonathan Vilbert and published by . This book was released on 1993 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 : 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 : 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 : 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 : 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 : Kiyoshi Katō
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (318 download)
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:
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.
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 : Ravinder K. Bhardwaj
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Further Evidence on Dividend Yields and the Ex-Dividend Day Stock Price Effect written by Ravinder K. Bhardwaj and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Ex-dividend day stock price behavior supports discreteness and tax clientele effects. The effects are still found after the Tax Reform Act of 1986. Results reflect an effective tax advantage for capital gains taxes payable at realization, versus dividend taxes due quarterly. Evidence also supports short-term trader participation in the ex-day phenomenon when the difference between dividend income and the ex-dividend day price decrease exceeds transaction costs to trade. Results contradict prior research where a tax clientele effect is not found, but align with the same prior research when including a small number of contaminated observations.
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 : Avner Kalay
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.:/5 (777 download)
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:
