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Ex-dividend Stock Price Behavior and Arbitrage Opportunities

Citations

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Cited by:

  1. Jan Bartholdy & Kate Brown, 2004. "Testing for Multiple Types of Marginal Investor in Ex-Day Pricing," Multinational Finance Journal, Multinational Finance Journal, vol. 8(3-4), pages 173-209, september.
  2. Liljeblom, Eva & Loflund, Anders & Hedvall, Kaj, 2001. "Foreign and domestic investors and tax induced ex-dividend day trading," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1687-1716, September.
  3. Stephen A. Easton & Sean M. Pinder, 1998. "The Pricing of Low Exercise Price Options," Australian Journal of Management, Australian School of Business, vol. 23(2), pages 203-212, December.
  4. Manuel Espitia & Francisco-Javier Ruiz, 1997. "Ex—dividend day stock price falls on the Spanish stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 481-492.
  5. Dai, Qinglei & Rydqvist, Kristian, 2009. "Investigation of the costly-arbitrage model of price formation around the ex-dividend day in Norway," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 582-596, September.
  6. 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.
  7. Asimakopoulos, Panagiotis N. & Tsangarakis, Nickolaos V. & Tsiritakis, Emmanuel D., 2015. "Price adjustment method and ex-dividend day returns in a different institutional setting," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 1-12.
  8. Tian-Shyr Dai & Yuh-Dauh Lyuu, 2009. "Accurate approximation formulas for stock options with discrete dividends," Applied Economics Letters, Taylor & Francis Journals, vol. 16(16), pages 1657-1663.
  9. Rantapuska, Elias, 2008. "Ex-dividend day trading: Who, how, and why?: Evidence from the Finnish market," Journal of Financial Economics, Elsevier, vol. 88(2), pages 355-374, May.
  10. Tian-Shyr Dai, 2009. "Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 827-838.
  11. Andrew Ainsworth & Kingsley YL Fong & David R Gallagher & Graham Partington, 2016. "Institutional trading around the ex-dividend day," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 299-323, May.
  12. Battauz, Anna, 2003. "Quadratic hedging for asset derivatives with discrete stochastic dividends," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 229-243, April.
  13. Rydqvist, Kristian & Dai, Qinglei, 2007. "Investigation of the Costly-Arbitrage Model of Price Formation Around the Ex-Dividend Day," CEPR Discussion Papers 6074, C.E.P.R. Discussion Papers.
  14. Tian-Shyr Dai & Chun-Yuan Chiu, 2013. "Pricing barrier stock options with discrete dividends by approximating analytical formulae," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1367-1382, October.
  15. Ma, Jingtang & Fan, Jiacheng, 2016. "Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 128-147.
  16. Wu, Chunchi & Hsu, Junming, 1996. "The Impact of the 1986 Tax Reform on Ex-Dividend Day Volume and Price Behavior," National Tax Journal, National Tax Association, vol. 49(2), pages 177-92, June.
  17. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series 385, Quantitative Finance Research Centre, University of Technology, Sydney.
  18. 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.
  19. Battauz, A. & Pratelli, M., 2004. "Optimal stopping and American options with discrete dividends and exogenous risk," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 255-265, October.
  20. Wu, Chunchi & Hsu, Junming, 1996. "The Impact of the 1986 Tax Reform on Ex-Dividend Day Volume and Price Behavior," National Tax Journal, National Tax Association;National Tax Journal, vol. 49(2), pages 177-192, June.
  21. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017. "On the existence of sure profits via flash strategies," Papers 1708.03099, arXiv.org, revised Jul 2019.
  22. Dupuis, Daniel, 2019. "Ex-dividend day price behavior and liquidity in a tax-free emerging market," Emerging Markets Review, Elsevier, vol. 38(C), pages 239-250.
  23. Rodrigo Hernández & Wayne Lee & Pu Liu & Tian-Shyr Dai, 2013. "Outperformance Certificates: analysis, pricing, interpretation, and performance," Review of Quantitative Finance and Accounting, Springer, vol. 40(4), pages 691-713, May.
  24. David J. Beggs & Christopher L. Skeels, 2006. "Market Arbitrage of Cash Dividends and Franking Credits," The Economic Record, The Economic Society of Australia, vol. 82(258), pages 239-252, September.
  25. 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.
  26. 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.
  27. Sarig, Oded & Tolkowsky, Efrat, 1997. "Dividend effects in Israel: a puzzle," Economics Letters, Elsevier, vol. 54(2), pages 169-174, February.
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