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Tick size, NYSE rule 118, and ex-dividend day stock price behavior

  • Jakob, Keith
  • Ma, Tongshu
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-49CN2F9-1/2/5c9340365e2c88317e7de49a30f764ae
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 72 (2004)
    Issue (Month): 3 (June)
    Pages: 605-625

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    Handle: RePEc:eee:jfinec:v:72:y:2004:i:3:p:605-625
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    1. David A. Dubofsky, 1992. "A Market Microstructure Explanation of Ex-Day Abnormal Returns," Financial Management, Financial Management Association, vol. 21(4), Winter.
    2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    3. Lakonishok, Josef & Vermaelen, Theo, 1986. "Tax-induced trading around ex-dividend days," Journal of Financial Economics, Elsevier, vol. 16(3), pages 287-319, July.
    4. 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.
    5. Frank, Murray & Jagannathan, Ravi, 1998. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Journal of Financial Economics, Elsevier, vol. 47(2), pages 161-188, February.
    6. 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.
    7. Hayashi, Fumio & Jagannathan, Ravi, 1990. "Ex-day behavior of japanese stock prices: New insights from new methodology," Journal of the Japanese and International Economies, Elsevier, vol. 4(4), pages 401-427, December.
    8. 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.
    9. Merton H. Miller & Franco Modigliani, 1961. "Dividend Policy, Growth, and the Valuation of Shares," The Journal of Business, University of Chicago Press, vol. 34, pages 411.
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