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Ex Dividend Day Price And Volume
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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 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 Taxes on Price and Volume Around the Ex-dividend Day by : Roni Michaely
Download or read book The Effect of Taxes on Price and Volume Around the Ex-dividend Day written by Roni Michaely and published by . This book was released on 1992 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Trading Volume with Private Valuations by : Roni Michaely
Download or read book Trading Volume with Private Valuations written by Roni Michaely and published by Palala Press. This book was released on 2015-09-10 with total page 76 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 Re-Examination of the Ex-Dividend Day Behaviour of Canadian Stock Prices by : Shantanu Dutta
Download or read book Re-Examination of the Ex-Dividend Day Behaviour of Canadian Stock Prices written by Shantanu Dutta and published by . This book was released on 2005 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the ex-dividend day price and volume behaviour in the Canadian stock market and show evidence on the co-existence of both the tax and short-term trading effects. By examining the abnormal returns as well as abnormal volumes around ex-day we find strong evidence of short-term trading which is consistent the presence of dividend-capturing activities around the ex-dividend day. By examining the abnormal returns before (after) the ex-dividend day, we also find evidence of the buying (selling) pressure created by short-term traders.
Book Synopsis Who Trades Around the Ex-Dividend Day? Evidence from NYSE Audit File Data by : Jennifer L. Koski
Download or read book Who Trades Around the Ex-Dividend Day? Evidence from NYSE Audit File Data written by Jennifer L. Koski and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze trading volume around ex-dividend days. We use NYSE audit file data to decompose total trading volume by trader type. These data permit us to directly test detailed hypotheses regarding the identity of traders around the ex-dividend day. We are able to distinguish between dividend-capture trading by taxable corporations and short-term trading by securities dealers. We find evidence of significant abnormal volume by securities dealers that is positively related to dividend yield and negatively related to transaction costs. We also document some abnormal trading volume consistent with corporate dividend-capture trading, but little evidence of tax-clientele trading.
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 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 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 2015-09-08 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 Option Trading Around Ex-Dividend Dates by : Arthur J. Wilson
Download or read book Option Trading Around Ex-Dividend Dates written by Arthur J. Wilson and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Why do we see so much options trading in the period around dividend ex-dates? We examine option open interest and volume around ex-dates for fifty of the most actively optioned stocks whose options traded on CBOE for each of the three years 1986-1988 to find a partial answer to the question. We find evidence consistent with several types of dividend- related trading at such times, including exercise avoidance, dividend spreading, and dividend capture. Given the abnormal volume seen during the week before an ex-date, these motives appear to account for 3% to 4% of all CBOE call volume, and a higher portion of call volume for high-dividend stocks.
Book Synopsis Ex-Dividend Day Stock Price Anomaly by : Apostolos Dasilas
Download or read book Ex-Dividend Day Stock Price Anomaly written by Apostolos Dasilas and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the ex-dividend price and trading volume behaviour in the Greek stock market. The examined period spans over the period 2000-2004. We use both the standard event study methodology and the regression analysis in order to assess the ex-dividend stock price anomaly. We find that stock prices drop less by than the dividend amount. By examining abnormal returns as well as abnormal trading volume around the ex-dividend day, we find strong evidence of short-term trading which is consistent with the presence of dividend-capturing activities around the ex-dividend day. The results from the cross-sectional regression analysis confirm that the short-term trading hypothesis explains the ex-day stock price anomaly in Greece.
Book Synopsis An Analysis of Ex-dividend Day Abnormal Trading Volumes and Share Price Changes in the Australian Equity Market by : David Ewan Bellamy
Download or read book An Analysis of Ex-dividend Day Abnormal Trading Volumes and Share Price Changes in the Australian Equity Market written by David Ewan Bellamy and published by . This book was released on 2002 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Ex-Day Phenomenon and Share Price Performance on Emerging Markets by : Victoria Cherkasova
Download or read book The Ex-Day Phenomenon and Share Price Performance on Emerging Markets written by Victoria Cherkasova and published by . This book was released on 2018 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study share price performance at the ex-dividend date and its relation to trading volume and a set of factors corresponding to different explanatory theories. Among the investigated factors that may have impact on the ex-dividend date share price are dividend yield, capital gains tax rate and dividends tax rate, transaction costs, market microstructure characteristics, market stock risk, and the disposition effect. The research was conducted using the panel data of companies from the BRIC zone for the period of 2005-2015. According to the obtained results, dividend capturing and disposition effect theories are likely to have explanatory power for the ex-day phenomenon for our sample. Tax theory and dividend clientele theory have not found empirical support.
