Ex-Dividend Day Behavior in the Absence of Taxes and Price Discreteness-super-
AbstractWe examine the ex-dividend day behavior 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 cannot 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 from the value of the dividend paid. Copyright (c) 2008 The Authors. Journal compilation (c) International Review of Finance Ltd. 2008.
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Bibliographic InfoArticle provided by International Review of Finance Ltd. in its journal International Review of Finance.
Volume (Year): 8 (2008)
Issue (Month): 3-4 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=1369-412X
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- Josef García Blandón & M?nica Martínez Blasco & Josef Argiles Bosch, 2011. "Ex-Dividend Day Returns when Dividend and Capital Gains are Taxed at the Same Rate," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(2), pages 140-152, June.
- Khamis Hamed Al-Yahyaee & Toan Pham & Terry Walter, 2010. "Dividend stability in a unique environment," Managerial Finance, Emerald Group Publishing, vol. 36(10), pages 903-916, October.
- Al-Yahyaee, Khamis H. & Pham, Toan M. & Walter, Terry S., 2011. "The information content of cash dividend announcements in a unique environment," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 606-612, March.
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