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Variation in ex day dividend pricing: Myth or reality?

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  • Rakesh Bali

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    File URL: http://hdl.handle.net/10.1007/BF02827218
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    Article provided by Springer in its journal Journal of Economics and Finance.

    Volume (Year): 27 (2003)
    Issue (Month): 2 (June)
    Pages: 190-210

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    Handle: RePEc:spr:jecfin:v:27:y:2003:i:2:p:190-210

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    1. Litzenberger, Robert H & Ramaswamy, Krishna, 1982. " The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects?," Journal of Finance, American Finance Association, vol. 37(2), pages 429-43, May.
    2. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    3. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March.
    4. 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.
    5. John H. Boyd & Ravi Jagannathan, 1994. "Ex-dividend price behavior of common stocks," Working Papers 500, Federal Reserve Bank of Minneapolis.
    6. Brooks, LeRoy D & Edwards, Charles E, 1980. "Marginal Stockholders and Implied Tax Rates," The Review of Economics and Statistics, MIT Press, vol. 62(4), pages 616-19, November.
    7. Bali, Rakesh & Hite, Gailen L., 1998. "Ex dividend day stock price behavior: discreteness or tax-induced clienteles?," Journal of Financial Economics, Elsevier, vol. 47(2), pages 127-159, February.
    8. Lesmond, David A & Ogden, Joseph P & Trzcinka, Charles A, 1999. "A New Estimate of Transaction Costs," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1113-41.
    9. 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.
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    Cited by:
    1. Rakesh Bali, 2003. "Seasonality in ex dividend day returns," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 929-932.

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