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Article: A model of trading volume with tax-induced heterogeneous valuation and transaction costs

TitleA model of trading volume with tax-induced heterogeneous valuation and transaction costs
Authors
Michaely, RoniVila, Jean LucWang, Jiang
Issue Date1996
Citation
Journal of Financial Intermediation, 1996, v. 5, n. 4, p. 340-371 How to Cite?
DOI: http://dx.doi.org/10.1006/jfin.1996.0020
AbstractWe develop a model of trading volume when agents have different valuation and face transaction costs. In particular, the differential valuation is induced by differential tax status which generates trading around the distribution of cash dividends. Our model predicts that trading volume is negatively affected by idiosyncratic risk of dividend-paying stocks. Volume is negatively affected by the systematic risk of these stocks only in the presence of transaction costs. Journal of Economic Literature Classification Numbers: G11, G12, H20. © 1996 Academic Press, Inc.
Persistent Identifierhttp://hdl.handle.net/10722/326024
ISSN
1042-9573
2023 Impact Factor: 3.1
2023 SCImago Journal Rankings: 3.095
ISI Accession Number ID
WOS:A1996VZ49400001

 

DC FieldValueLanguage
dc.contributor.authorMichaely, Roni-
dc.contributor.authorVila, Jean Luc-
dc.contributor.authorWang, Jiang-
dc.date.accessioned2023-03-09T09:57:29Z-
dc.date.available2023-03-09T09:57:29Z-
dc.date.issued1996-
dc.identifier.citationJournal of Financial Intermediation, 1996, v. 5, n. 4, p. 340-371-
dc.identifier.issn1042-9573-
dc.identifier.urihttp://hdl.handle.net/10722/326024-
dc.description.abstractWe develop a model of trading volume when agents have different valuation and face transaction costs. In particular, the differential valuation is induced by differential tax status which generates trading around the distribution of cash dividends. Our model predicts that trading volume is negatively affected by idiosyncratic risk of dividend-paying stocks. Volume is negatively affected by the systematic risk of these stocks only in the presence of transaction costs. Journal of Economic Literature Classification Numbers: G11, G12, H20. © 1996 Academic Press, Inc.-
dc.languageeng-
dc.relation.ispartofJournal of Financial Intermediation-
dc.titleA model of trading volume with tax-induced heterogeneous valuation and transaction costs-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1006/jfin.1996.0020-
dc.identifier.scopuseid_2-s2.0-0030268348-
dc.identifier.volume5-
dc.identifier.issue4-
dc.identifier.spage340-
dc.identifier.epage371-
dc.identifier.isiWOS:A1996VZ49400001-

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