The Ex Dividend Day Behavior Of Stock Prices PDF Download
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Author | : Kiyoshi Kato |
Publisher | : |
Total Pages | : |
Release | : 1998 |
Genre | : |
ISBN | : |
Download The Ex-Dividend-Day Behavior of Stock Prices Book in PDF, ePub and Kindle
We provide a comprehensive empirical analysis of stock-price behavior around the ex-dividend day in Japan. We find that prices rise on the ex-day and that dividend-related tax effects appear to be secondary. Returns around ex-dividend days are dominated by the proximity of many ex-days to the fiscal year-end. Excess returns of 1%, which are independent of any dividend-related considerations, are higher than round-trip transaction costs on medium-sized transactions. Prices seem to imply selling pressure before, and buying pressure at the start of, the new fiscal year. These trading patterns appear to be motivated by intercorporate manipulative trading around the end of the firms' fiscal year, which are unrelated to dividends.
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 | : Kiyoshi Katō |
Publisher | : |
Total Pages | : 43 |
Release | : 1992 |
Genre | : |
ISBN | : |
Download The Ex-dividend Day Behavior of Stock Prices Book in PDF, ePub and Kindle
Author | : Avner Kalay |
Publisher | : |
Total Pages | : 80 |
Release | : 1978 |
Genre | : |
ISBN | : |
Download The Ex-dividend Day Behavior of Stock Prices Book in PDF, ePub and Kindle
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 | : Nickolaos G. Travlos |
Publisher | : |
Total Pages | : 24 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download The Ex-Dividend Day Stock Price Behavior in the Chinese Stock Market Book in PDF, ePub and Kindle
This paper analyzes the ex-dividend day stock price behavior in the Chinese stock market. This market, where dividends could be either taxable or non-taxable, allows us to examine the impact of tax effects while keeping any microstructure factors constant. The findings from non-taxable stocks show that their price, on the ex-dividend day, falls by an amount that equals the dividend. For the taxable sample, stock prices of small dividend yield stocks drop proportionally to the dividend paid. For the large dividend yield stocks, the price adjustment depends on the effective tax rate on dividend income. The overall findings are consistent with the tax hypothesis.
Author | : C Justin Robinson |
Publisher | : |
Total Pages | : 22 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download Insights Into the Ex-Dividend Behavior of Stock Prices Book in PDF, ePub and Kindle
This paper adds to the literature on the behavior of stock prices around the ex-dividend date by providing evidence on the behavior of stock returns and trading volumes around the ex-dividend date in the unique environment of the Jamaica Stock Exchange. The Jamaica Stock Exchange is characterized by two major changes to the dividend tax rate in recent years and the absence of any capital gains tax, short selling or market makers. Using the event-study methodology, the paper finds that changes in the dividend tax rate produces major changes in the price drop ratio and abnormal returns in one instance but not in the other, while trading volumes increase around the ex-dividend date regardless of the tax regime. These results suggest that while tax differentials between capital gains and dividends can play a major role in the ex-dividend behavior of stock prices, it may not provide a complete explanation of such.
Author | : J. Thomas Connelly |
Publisher | : |
Total Pages | : 35 |
Release | : 2007 |
Genre | : Dividends |
ISBN | : |
Download An International Analysis of Factors Affecting Ex-dividend Day Stock Prices Book in PDF, ePub and Kindle
We investigate stock price changes on the ex-dividend day in 37 countries. We hypothesize that, in addition to taxes, other market frictions should also affect ex-dividend day stock prices in world markets. Empirical results show that mean price drop ratios deviate significantly from their predicted values based on differential tax rates between dividends and capital gains, and that proxies for agency conflicts and information asymmetry also help explain these cross-country deviations. After controlling for these factors, the weighted average of investors' tax rate is reflected in the ex-dividend day price movements. The results are consistent with the idea that agency conflicts, information asymmetry and differential taxation of dividends and capital gains are all important factors affecting ex-dividend day stock prices in world markets.
Author | : Anders Isaksson |
Publisher | : |
Total Pages | : 16 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download The Ex-Dividend-Day Price Behaviour of Blue-Chip Stocks Book in PDF, ePub and Kindle
To explain the ex-day stock price behaviour, previous research has mostly focused on dividend yield and expected return. Most of these studies concentrated on US markets and were conducted in a stable economic condition. This paper examines the most liquid common stock (blue-chip) prices behaviour on the ex-day in a period of financial crisis and covers four major capital markets from different geographic locations (the US, the UK, Japan, and China). On the New York and Shanghai Stock Exchanges, we observe that the stock prices drop does not differ from the dividend amount on the ex-dividend day and there is no evidence of abnormal return and short-term trading. On the Tokyo Stock Exchange, the stock prices fall less than the dividend amount, which is in contrast to the London Stock Exchange, where the stock prices fall more than the dividend amount. On the Tokyo and London Stock Exchanges, we observe abnormal return and short-term trading around the ex-day.http://dx.doi.org/10.5296/ajfa.v5i1.1948.
Author | : Joseph K. Kiely |
Publisher | : |
Total Pages | : 398 |
Release | : 1993 |
Genre | : Dividends |
ISBN | : |
Download An Examination of Returns and Bid-ask Spreads on the Ex-dividend Day Book in PDF, ePub and Kindle