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Risk premia and the ex-dividend stock price behavior : Empirical evidence

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  • Fedenia, Mark
  • Grammatikos, Theoharry

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  • Fedenia, Mark & Grammatikos, Theoharry, 1993. "Risk premia and the ex-dividend stock price behavior : Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 17(4), pages 575-589, June.
    • Handle: RePEc:eee:jbfina:v:17:y:1993:i:4:p:575-589
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    Citations

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    Cited by:

    1. Lynn Hodgkinson & Kevin Holland & Richard Jackson, 2006. "Dividend valuation, trading and transactions costs: the 1997 partial abolition of dividend tax credit repayments," Accounting and Business Research, Taylor & Francis Journals, vol. 36(4), pages 253-270.
    2. Aelee Jun & V. T. Alaganar & Graham Partington & Max Stevenson, 2008. "Price and Volume Behavior around the Ex‐dividend Day: Evidence on the Value of Dividends from American Depositary Receipts and their Underlying Australian Stocks," International Review of Finance, International Review of Finance Ltd., vol. 8(1‐2), pages 21-55, March.
    3. Lynn Hodgkinson & Jo Wells, 2009. "The ex-interest behaviour of UK gilt prices," Applied Financial Economics, Taylor & Francis Journals, vol. 19(21), pages 1753-1760.
    4. Aelee Jun & David R. Gallagher & Graham H. Partington, 2011. "Institutional Dividend Clienteles Under an Imputation Tax System," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(1-2), pages 198-224, January.
    5. Sorjonen, Pasi, 2002. "Ex-Dividend Day Stock Returns and Tick Rules," Discussion Papers 675, The Research Institute of the Finnish Economy.
    6. Hodgkinson, Lynn & Partington, Graham, 2013. "Capital gains tax, managed funds and the value of dividends: The case of New Zealand," The British Accounting Review, Elsevier, vol. 45(4), pages 271-283.
    7. Khamis Al Yahyaee & Toan Pham & Terry Walter, 2008. "Ex‐Dividend Day Behavior in the Absence of Taxes and Price Discreteness," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 103-123, September.
    8. Sorjonen, Pasi, 2002. "Ex-Dividend Day Behavior of Stock Prices in Finland in 1989-90 and 1993-97," Discussion Papers 674, The Research Institute of the Finnish Economy.
    9. Sorjonen, Pasi, . "Essays on Dividends and Taxes," ETLA A, The Research Institute of the Finnish Economy, number 30.
    10. Sorjonen, Pasi, 2002. "Ex-Dividend Day Stock Price Behavior, Taxes and Discrete Prices; A Simulation Experiment," Discussion Papers 676, The Research Institute of the Finnish Economy.
    11. Kai-Wei (Shaun) Siau & Stephen J. Sault & Geoffrey J. Warren & Henk Berkman, 2015. "Are imputation credits capitalised into stock prices?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(1), pages 241-277, March.
    12. H. Chu & G. Partington, 2008. "The Market Valuation of Cash Dividends: The Case of the CRA Bonus Issue," International Review of Finance, International Review of Finance Ltd., vol. 8(1‐2), pages 1-20, March.

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