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Foreign and domestic investors and tax induced ex-dividend day trading

Listed author(s):
  • Liljeblom, Eva
  • Loflund, Anders
  • Hedvall, Kaj

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(00)00148-5
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 25 (2001)
Issue (Month): 9 (September)
Pages: 1687-1716

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Handle: RePEc:eee:jbfina:v:25:y:2001:i:9:p:1687-1716
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

References listed on IDEAS
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  1. Fumio Hayashi & Ravi Jagannathan, 1990. "Ex-day behavior of Japanese stock prices: new insights from new methodology," Discussion Paper / Institute for Empirical Macroeconomics 30, Federal Reserve Bank of Minneapolis.
  2. 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.
  3. Boyd, John H & Jagannathan, Ravi, 1994. "Ex-dividend Price Behavior of Common Stocks," Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 711-741.
  4. Ashok J. Robin, 1991. "The Impact of the 1986 Tax Reform Act on Ex-Dividend Day Returns," Financial Management, Financial Management Association, vol. 20(1), Spring.
  5. Barone-Adesi, Giovanni & Whaley, Robert E., 1986. "The valuation of American call options and the expected ex-dividend stock price decline," Journal of Financial Economics, Elsevier, vol. 17(1), pages 91-111, September.
  6. David C. Heath & Robert A. Jarrow, 2008. "Ex-Dividend Stock Price Behavior and Arbitrage Opportunities," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 3, pages 47-60 World Scientific Publishing Co. Pte. Ltd..
  7. James M. Poterba & Lawrence H. Summers, 1984. "New Evidence that Taxes Affect the Valuation of Dividends," NBER Working Papers 1288, National Bureau of Economic Research, Inc.
  8. Murray Frank & Ravi Jagannathan, 1997. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Staff Report 229, Federal Reserve Bank of Minneapolis.
  9. Lakonishok, Josef & Vermaelen, Theo, 1986. "Tax-induced trading around ex-dividend days," Journal of Financial Economics, Elsevier, vol. 16(3), pages 287-319, July.
  10. Karpoff, Jonathan M. & Walkling, Ralph A., 1990. "Dividend capture in NASDAQ stocks," Journal of Financial Economics, Elsevier, vol. 28(1-2), pages 39-65.
  11. 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 313-338, July.
  12. Tkac, Paula A., 1999. "A Trading Volume Benchmark: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(01), pages 89-114, March.
  13. Michaely, Roni & Vila, Jean-Luc, 1995. "Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(02), pages 171-198, June.
  14. 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.
  15. Michaely, Roni & Murgia, Maurizio, 1995. "The Effect of Tax Heterogeneity on Prices and Volume around the Ex-dividend Day: Evidence from the Milan Stock Exchange," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 369-399.
  16. 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.
  17. 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 157-173, April.
  18. Hietala, Pekka T., 1990. "Equity markets and personal taxation : The ex-dividend day behaviour of Finnish stock prices," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 327-350, August.
  19. 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.
  20. Pekka Hietala & Matti Keloharju, 1995. "The ex-dividend day behaviour of Finnish restricted and unrestricted shares," Applied Economics Letters, Taylor & Francis Journals, vol. 2(12), pages 467-468.
  21. 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.
  22. Felixson, Karl & Pelli, Anders, 1999. "Day end returns--stock price manipulation," Journal of Multinational Financial Management, Elsevier, vol. 9(2), pages 95-127, March.
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