Further Evidence On Dividend Yields And The Ex Dividend Day Stock Price Effect PDF Download
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| Author | : Ravinder K. Bhardwaj |
| Publisher | : |
| Total Pages | : |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
Download Further Evidence on Dividend Yields and the Ex-Dividend Day Stock Price Effect Book in PDF, ePub and Kindle
Ex-dividend day stock price behavior supports discreteness and tax clientele effects. The effects are still found after the Tax Reform Act of 1986. Results reflect an effective tax advantage for capital gains taxes payable at realization, versus dividend taxes due quarterly. Evidence also supports short-term trader participation in the ex-day phenomenon when the difference between dividend income and the ex-dividend day price decrease exceeds transaction costs to trade. Results contradict prior research where a tax clientele effect is not found, but align with the same prior research when including a small number of contaminated observations.
| Author | : Tongshu Ma |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
Download Are Ex-Day Dividend Clientele Effects Dead? Dividend Yield Verses Dividend Size Book in PDF, ePub and Kindle
We document new evidence that the ex-dividend day stock price behavior in the U.S. is inconsistent with the tax explanation in several aspects. We find that within a tick multiple, as dividend size increases, dividend yields increase, but the price-drop-to-dividend ratios decrease. For dividends that are less than a tick, there is no relation between price-drop-to-dividend ratio and dividend yield, and for dividends that are less than half a tick, the average price drop is larger than dividend amount. These facts contradict the tax explanation of the ex-dividend day phenomenon. But these patterns are qualitatively consistent with Dubofsky's argument that the exchange rules on how to adjust the prices in the existing limit orders affect ex-day price drop behavior. The positive relation between the price-drop-to-dividend ratio and dividend yield is more pronounced as dividend size increases. We point out this is also qualitatively consistent with Dubofsky.
| Author | : Thomas Herdieckerhoff |
| Publisher | : GRIN Verlag |
| Total Pages | : 18 |
| Release | : 2015-03-25 |
| Genre | : Business & Economics |
| ISBN | : 3656928606 |
Download The Effect of a Dividend Payment on the Stock Price Book in PDF, ePub and Kindle
Essay from the year 2013 in the subject Business economics - Investment and Finance, grade: 100%, , language: English, abstract: This paper is an introduction to the effects that dividend payments have on the stock price and a discussion of various opinions about payment effects. One fundamental framework in this field of study has been the “dividend irrelevance theorem” by Modigliani and Miller (1961) that was published in the journal of business as a part of their analysis of “Dividend Policy, Growth, and the Valuation of Shares”. With a set of given assumptions they arrive at the conclusion that the dividend policy is irrelevant. As the second source I consult an article by the American stock exchange NASDAQ (2012) about the so-called “dividend capture strategy”, which I discuss skeptically. The third article I refer to interestingly holds the opposite of the NASDAQ article.
| Author | : Dan W. French |
| Publisher | : |
| Total Pages | : 44 |
| Release | : 2002 |
| Genre | : |
| ISBN | : |
Download Decimalization and the Ex-Dividend Behavior of Stock Prices Book in PDF, ePub and Kindle
In this paper, we examine changes in the behavior of ex-dividend stock prices when the exchanges changed from pricing stocks in discrete intervals to decimal pricing. Based on prior models of ex-dividend behavior and price discreteness of Dubofsky and of Bali and Hite, we anticipate that the move to trading in decimals would decrease the variance of returns on all exchanges and increase the level of ex-dividend-day returns on the NYSE while reducing them on the Amex and Nasdaq.Our sample of ex-dividend-day returns covers periods slightly longer than one year before and after decimalization. For the overall sample and for each of the individual exchanges (Amex, Nasdaq and NYSE), the variances of ex-dividend returns experience a significant decrease after decimalization while the mean returns increase by a positive and significant amount. To account for the increase in ex-day returns on the Amex and Nasdaq, we develop an alternative model to explain the effect of discreteness on ex-day returns. Tests of the three models (Dubofsky's, Bali and Hite's, and ours) indicate that prior to decimalization, as expected, Dubofsky's model is better for explaining NYSE ex-day returns and ours fits the Nasdaq better. Bali and Hite's model, however, is unable to explain any of the pre-decimalization ex-day returns, including those of the Nasdaq where the Bali-Hite model might provide a reasonable description of ex-day market behavior. After decimalization, ex-dividend-day returns do not appear to follow either the scenario described by Dubofsky or by us. The most likely cause of this is that traders in the market are placing ex-dividend-day orders with limits somewhere between prices indicated by Dubofsky and by us.We also provide evidence that ex-dividend returns attributable to factors other than discreteness and the dividend yield actually declined following decimalization. Since the most obvious factor is transactions costs, we interpret this to be evidence of a reduction in ex-day returns caused by a reduction in transactions costs. We also find that the dividend yield is a significant influence on ex-dividend-day returns.
| Author | : Josep Garcia-Blandon |
| Publisher | : |
| Total Pages | : 13 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Ex-Dividend Day Returns When Dividend and Capital Gains are Taxed at the Same Rate Book in PDF, ePub and Kindle
Due to the overwhelming international evidence that stock prices drop by less than the dividend paid on ex-dividend days, the ex-dividend day anomaly is considered a stylized fact. Two main approaches have emerged to explain this empirical regularity: the tax-clientele hypothesis and the microstructure of financial markets. Although the most widely accepted explanation for this fact relies on taxes, the ex-dividend day anomaly has been reported even in countries where neither dividends nor capital gains are taxed. The 2006 tax reform in Spain established the same tax rate for dividends and capital gains. This paper investigates stock returns on ex-dividend days in the Spanish stock market after the 2006 tax reform using a random coefficient model. Contrary to previous research, we do not observe an ex-dividend day anomaly. Unlike previous investigations, which are mostly concerned with suggesting explanations as to why this anomaly has occurred, we are in the somewhat strange position of discussing why this anomaly has not occurred. Our findings are robust across companies and stock dividend yields, thus supporting a tax-based explanation for the ex-dividend day anomaly.
| Author | : Jerry Green |
| Publisher | : |
| Total Pages | : 43 |
| Release | : 1980 |
| Genre | : Bonds |
| ISBN | : |
Download Taxation and the Ex-dividend Day Behavior of Common Stock Prices Book in PDF, ePub and Kindle
The behavior of stock prices around ex-dividend days has been suggested as evidence for tax-induced clientele effects and as a means to estimate the average effective tax rate faced by investors. In this paper these possibilities are examined theoretically and empirically. Theoretically it is shown that the measured price drop per dollar of dividend may provide a biased estimate of the effective tax rate. Looking at the volume of trade around ex-dividend days we show that the conditions under which it would be unbiased are unlikely to hold. Strong evidence, based on a broader database than that used by previous investigators, is presented for the presence of the clientele effect
| Author | : Roni Michaely |
| Publisher | : |
| Total Pages | : |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
Download The Effect of Tax Heterogeneity on Prices and Volume Around the Ex-Dividend Day Book in PDF, ePub and Kindle
To investigate the effect of taxation on stock price and trading volume around the ex-dividend day, we use the Italian stock market, where dividends on two classes of stock are taxed differently. When all investors face identical tax rates on dividends (holders of savings stocks), we find that the average price decline between the cum-and the ex-dividend day equals the after-tax valuation of dividends, and that there is no excess volume around the ex-day. When the tax rate on dividend income varies across investors (the common stock sample), we find significant excess volume around the ex-dividend day, as well as an average price decline smaller than the minimum after-tax valuation of dividends. The latter finding is inconsistent with the pure tax-trading hypothesis. It may be explained by the confounding registration effect: individual investors sell the stock prior to the ex-day to maintain their fiscal anonymity. However, a study of block trading activity, which is done by traders who are not subject to the registration effect, shows evidence consistent with the notion that a significant portion of the ex-dividend day trading is motivated by the differential valuation of dividends relative to capital gains. We also show that higher transaction costs result in higher ex-dividend day excess returns and lower abnormal volume. This finding is consistent with quot;profit eliminationquot; activity by institutions and corporations.
| Author | : Jack J.W. Yang |
| Publisher | : |
| Total Pages | : 14 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Price and Volume Reactions to Cash Dividend Announcements Book in PDF, ePub and Kindle
Are stock market investors concerned with obtaining abnormal returns by acquiring certain information? This paper studied the effect of ex-dividend date for cash-dividend policy. We try to demonstrate the existence of abnormal returns by examining stock trading situations before and after the ex-dividend date. We find that abnormal returns exist for listed Taiwan firms before and after the ex-dividend date. If an investor buys the stock of a firm who adopts a cash-dividend payout at the closing price 11 days before the ex-dividend date, and sells them at the closing price 10 days after the ex-dividend date, the investor will obtain an average 2.13% abnormal return, regardless of the transaction cost. This paper further analyzes whether firms adopting cash-dividend payouts have different abnormal returns on stock price performance depending on different variables. Yilmaz and Gulay's (2006) method of analyzing abnormal returns of stock prices was adopted. Further studies were undertaken of the three dimensions of cash-dividend payout ratio, stock trading turnover rate, and the firm size.
| Author | : Roni Michaely |
| Publisher | : Palala Press |
| Total Pages | : 50 |
| Release | : 2018-03-02 |
| Genre | : |
| ISBN | : 9781379009573 |
Download Investors' Heterogeneity, Prices, and Volume Around the Ex-dividend Day Book in PDF, ePub and Kindle
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| Author | : Shishir K. Paudel |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Ex-Dividend Day Stock Price Behavior - The NASDAQ Evidence Book in PDF, ePub and Kindle
We use dividend-paying Nasdaq-listed firms as a setting to test various explanations of the ex-day price anomaly. Similar to NYSE-listed firms, on average the prices of Nasdaq-listed firms drop by less than the dividend amount on the ex-day. However, the average price-drop is half that observed for NYSE-listed firms and translates to an imputed dividend tax rate that is double the average maximum tax rate over the sample period. In addition, we find the ex-day price-drop increases in dividend yield, opposite the prediction from a tax clientele explanation. Moreover, for non-taxable distributions we find prices behave in a similar manner to taxable distributions on the ex-day, again suggesting taxes are not the primary reason for the price behavior. In sum, we find little support for tax-based explanations. We also find little support for short-term trading and market microstructure explanations. Importantly, our results are robust to transaction costs as proxied by stock price, liquidity, volatility, firm size and bid-ask spread. We supplement our analysis by investigating a subset of firms that voluntarily switch from the Nasdaq exchange to the NYSE. The average price-drop for the switching firms is similar to the Nasdaq average prior to the switch and resembles the NYSE average immediately after the switch. This change in price behavior potentially reflects a changing investor base and suggests the marginal investor of Nasdaq dividend-paying firms places relatively less importance on dividends. Overall, our results call into question the various explanations of the ex-day anomaly. Any potential explanation also needs to account for the Nasdaq evidence.
