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Limit orders and ex-dividend day return distributions

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  • Dubofsky, David
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    File URL: http://www.sciencedirect.com/science/article/pii/S0927-5398(96)00012-6
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    Article provided by Elsevier in its journal Journal of Empirical Finance.

    Volume (Year): 4 (1997)
    Issue (Month): 1 (January)
    Pages: 47-65

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    Handle: RePEc:eee:empfin:v:4:y:1997:i:1:p:47-65
    Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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    9. Harris, Lawrence, 1990. "Estimation of Stock Price Variances and Serial Covariances from Discrete Observations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(03), pages 291-306, September.
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    23. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    24. Lakonishok, Josef & Vermaelen, Theo, 1986. "Tax-induced trading around ex-dividend days," Journal of Financial Economics, Elsevier, vol. 16(3), pages 287-319, July.
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    27. Lease, Ronald C & Masulis, Ronald W & Page, John R, 1991. " An Investigation of Market Microstructure Impacts on Event Study Returns," Journal of Finance, American Finance Association, vol. 46(4), pages 1523-36, September.
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    Cited by:

    1. Efthymiou, Vassilis A. & Leledakis, George N., 2013. "Intraday analysis of the limit order bias at the ex-dividend day of U.S. common stocks," MPRA Paper 49770, University Library of Munich, Germany.
    2. William Hardin & Gow-Cheng Huang & Kartono Liano, 2012. "Dividend Size, Yield, Clienteles and REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 435-449, August.

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