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Ex dividend day stock price behavior: discreteness or tax-induced clienteles?

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  • Bali, Rakesh
  • Hite, Gailen L.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-3SX82RY-7/2/06e458ec83339de134655c1ce730d44b
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 47 (1998)
    Issue (Month): 2 (February)
    Pages: 127-159

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    Handle: RePEc:eee:jfinec:v:47:y:1998:i:2:p:127-159

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    Web page: http://www.elsevier.com/locate/inca/505576

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    1. Karpoff, Jonathan M. & Walkling, Ralph A., 1988. "Short-term trading around ex-dividend days : Additional evidence," Journal of Financial Economics, Elsevier, vol. 21(2), pages 291-298, September.
    2. David A. Dubofsky, 1992. "A Market Microstructure Explanation of Ex-Day Abnormal Returns," Financial Management, Financial Management Association, vol. 21(4), Winter.
    3. John H. Boyd & Ravi Jagannathan, 1994. "Ex-dividend price behavior of common stocks," Working Papers 500, Federal Reserve Bank of Minneapolis.
    4. Grinblatt, Mark S. & Masulis, Ronald W. & Titman, Sheridan, 1984. "The valuation effects of stock splits and stock dividends," Journal of Financial Economics, Elsevier, vol. 13(4), pages 461-490, December.
    5. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    6. Barclay, Michael J., 1987. "Dividends, taxes, and common stock prices : The ex-dividend day behavior of common stock prices before the income tax," Journal of Financial Economics, Elsevier, vol. 19(1), pages 31-44, September.
    7. Frank, Murray & Jagannathan, Ravi, 1998. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Journal of Financial Economics, Elsevier, vol. 47(2), pages 161-188, February.
    8. Ball, Ray & Kothari, S. P. & Shanken, Jay, 1995. "Problems in measuring portfolio performance An application to contrarian investment strategies," Journal of Financial Economics, Elsevier, vol. 38(1), pages 79-107, May.
    9. Grammatikos, Theoharry, 1989. "Dividend Stripping, Risk Exposure, and the Effect of the 1984 Tax Reform Act on the Ex-dividend Day Behavior," The Journal of Business, University of Chicago Press, vol. 62(2), pages 157-73, April.
    10. Elton, Edwin J & Gruber, Martin J, 1970. "Marginal Stockholder Tax Rates and the Clientele Effect," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 68-74, February.
    11. Miller, Merton H & Scholes, Myron S, 1982. "Dividends and Taxes: Some Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 90(6), pages 1118-41, December.
    12. Eades, Kenneth M. & Hess, Patrick J. & Kim, E. Han, 1984. "On interpreting security returns during the ex-dividend period," Journal of Financial Economics, Elsevier, vol. 13(1), pages 3-34, March.
    13. Koski, Jennifer Lynch, 1996. "A Microstructure Analysis of Ex-dividend Stock Price Behavior before and after the 1984 and 1986 Tax Reform Acts," The Journal of Business, University of Chicago Press, vol. 69(3), pages 313-38, July.
    14. Angel, James J, 1997. " Tick Size, Share Prices, and Stock Splits," Journal of Finance, American Finance Association, vol. 52(2), pages 655-81, June.
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