The Ex‐Day Price Behavior of REITs: Taxes or Ticks?
Taxes and microstructure constraints are often cited as possible explanations for why stock prices drop by less than the dividend on their ex-dates. Using a sample of real estate investment trusts, which have no significant correlation between dividend size and yield, we find that close‐to‐open ex‐dividend price drops are related to dividend size as suggested by the microstructure models, but close‐to‐close price drops are related to dividend yield as predicted by the tax theory. These results imply that overnight price drops are primarily determined by microstructure, but that trading during the ex‐day causes prices to adjust to reflect individual tax preferences.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Volume (Year): 38 (2010)
Issue (Month): 4 (Winter)
Pages: 733-752
| Handle: | RePEc:bla:reesec:v:38:y:2010:i:4:p:733-752 |
| Contact details of provider: | Postal: Indiana University, Kelley School of Business, 1309 East Tenth Street, Suite 738, Bloomington, Indiana 47405 Phone: (812) 855-7794 Fax: (812) 855-8679 Web page: http://www.blackwellpublishing.com/journal.asp?ref=1080-8620 Email: More information through EDIRC
|
| Order Information: | Web: http://www.blackwellpublishing.com/subs.asp?ref=1080-8620 |
No references listed on IDEAS
You can help add them by filling out this form.
This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.
When requesting a correction, please mention this item's handle: RePEc:bla:reesec:v:38:y:2010:i:4:p:733-752. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)
or (Christopher F. Baum)If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.