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- Publisher Website: 10.1287/mnsc.2017.2843
- Scopus: eid_2-s2.0-85063393755
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Article: Ex-Day Returns of Stock Distributions: An Anchoring Explanation
Title | Ex-Day Returns of Stock Distributions: An Anchoring Explanation |
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Authors | |
Keywords | Anchoring Asset pricing Behavior and behavioral decision making Economics Finance Splits Stock dividends |
Issue Date | 2019 |
Publisher | INFORMS. The Journal's web site is located at http://mansci.pubs.informs.org |
Citation | Management Science, 2019 v. 65 n. 3, p. 955-1453 How to Cite? |
Abstract | We offer a new anchoring explanation for the ex-day abnormal returns of stock distributions including stock dividend distributions, splits, and reverse splits. We propose that investors tend to anchor on cum-day prices in valuating ex-distribution stocks, resulting in a positive association between ex-day returns and adjustment factors. We find that this positive return-factor relation exists for all three types of stock distributions and in both the pre- and post-decimalization periods. Furthermore, we find that this positive return-factor relation is more pronounced among events that are more subject to investors’ anchoring propensity, featured by less investor attention, greater arbitrage difficulty, greater valuation uncertainty, less investor sophistication, and higher market sentiment. Lastly, using brokerage account data, we show that stocks that are traded by investors with more investment experience demonstrate a weaker return-factor relation. |
Persistent Identifier | http://hdl.handle.net/10722/243215 |
ISSN | 2023 Impact Factor: 4.6 2023 SCImago Journal Rankings: 5.438 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Chang, EC | - |
dc.contributor.author | Lin, TC | - |
dc.contributor.author | Luo, Y | - |
dc.contributor.author | Ren, J | - |
dc.date.accessioned | 2017-08-25T02:51:44Z | - |
dc.date.available | 2017-08-25T02:51:44Z | - |
dc.date.issued | 2019 | - |
dc.identifier.citation | Management Science, 2019 v. 65 n. 3, p. 955-1453 | - |
dc.identifier.issn | 0025-1909 | - |
dc.identifier.uri | http://hdl.handle.net/10722/243215 | - |
dc.description.abstract | We offer a new anchoring explanation for the ex-day abnormal returns of stock distributions including stock dividend distributions, splits, and reverse splits. We propose that investors tend to anchor on cum-day prices in valuating ex-distribution stocks, resulting in a positive association between ex-day returns and adjustment factors. We find that this positive return-factor relation exists for all three types of stock distributions and in both the pre- and post-decimalization periods. Furthermore, we find that this positive return-factor relation is more pronounced among events that are more subject to investors’ anchoring propensity, featured by less investor attention, greater arbitrage difficulty, greater valuation uncertainty, less investor sophistication, and higher market sentiment. Lastly, using brokerage account data, we show that stocks that are traded by investors with more investment experience demonstrate a weaker return-factor relation. | - |
dc.language | eng | - |
dc.publisher | INFORMS. The Journal's web site is located at http://mansci.pubs.informs.org | - |
dc.relation.ispartof | Management Science | - |
dc.subject | Anchoring | - |
dc.subject | Asset pricing | - |
dc.subject | Behavior and behavioral decision making | - |
dc.subject | Economics | - |
dc.subject | Finance | - |
dc.subject | Splits | - |
dc.subject | Stock dividends | - |
dc.title | Ex-Day Returns of Stock Distributions: An Anchoring Explanation | - |
dc.type | Article | - |
dc.identifier.email | Chang, EC: ecchang@business.hku.hk | - |
dc.identifier.email | Lin, TC: chunlin@hku.hk | - |
dc.identifier.authority | Chang, EC=rp01050 | - |
dc.identifier.authority | Lin, TC=rp01077 | - |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1287/mnsc.2017.2843 | - |
dc.identifier.scopus | eid_2-s2.0-85063393755 | - |
dc.identifier.hkuros | 274167 | - |
dc.identifier.volume | 65 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 955 | - |
dc.identifier.epage | 1453 | - |
dc.identifier.isi | WOS:000461928600007 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 0025-1909 | - |