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Ex-dividend day trading: Who, how, and why?: Evidence from the Finnish market

  • Rantapuska, Elias
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    This study examines the ex-dividend day trading behavior of all investors in the Finnish stock market. Consistent with dynamic dividend clientele theories, investors with a preference for dividend income buy shares cum-dividend and sell ex-dividend; the reverse is true for investors with the opposite preference. Investors also engage in overnight arbitrage, earning on average a 2% overnight return on their invested capital. Trades at the investor-level reveal that idiosyncratic risk is an important determinant in the choice of stock for short-term ex-day trading. Furthermore, transaction costs and dividend yield jointly determine whether the volume of short-term trading activity is nonzero.

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    File URL: http://www.sciencedirect.com/science/article/B6VBX-4S4JYVS-1/1/201889f9b87bf76da9a2ed5915682eef
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 88 (2008)
    Issue (Month): 2 (May)
    Pages: 355-374

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    Handle: RePEc:eee:jfinec:v:88:y:2008:i:2:p:355-374
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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