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- Publisher Website: 10.1046/j.1540-6261.2003.00617.x
- Scopus: eid_2-s2.0-0344100134
- WOS: WOS:000186755300012
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Article: Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization
Title | Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization |
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Authors | |
Issue Date | 2003 |
Citation | Journal of Finance, 2003, v. 58, n. 6, p. 2611-2636 How to Cite? |
Abstract | By the end of January 2001, all NYSE stocks had converted their price quotations from 1/8s and 1/16s to decimals. This study examines the effect of this change in price quotations on ex-dividend day activity. We find that abnormal ex-dividend day returns increase in the 1/16 and decimal pricing eras, relative to the 1/8 era, which is inconsistent with microstructure explanations of ex-day price movements. We also find that abnormal returns increase in conjunction with a May 1997 reduction in the capital gains tax rate, as they should if relative taxation of dividends and capital gains affects ex-day pricing. |
Persistent Identifier | http://hdl.handle.net/10722/326033 |
ISSN | 2023 Impact Factor: 7.6 2023 SCImago Journal Rankings: 19.139 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Graham, John R. | - |
dc.contributor.author | Michaely, Roni | - |
dc.contributor.author | Roberts, Michael R. | - |
dc.date.accessioned | 2023-03-09T09:57:32Z | - |
dc.date.available | 2023-03-09T09:57:32Z | - |
dc.date.issued | 2003 | - |
dc.identifier.citation | Journal of Finance, 2003, v. 58, n. 6, p. 2611-2636 | - |
dc.identifier.issn | 0022-1082 | - |
dc.identifier.uri | http://hdl.handle.net/10722/326033 | - |
dc.description.abstract | By the end of January 2001, all NYSE stocks had converted their price quotations from 1/8s and 1/16s to decimals. This study examines the effect of this change in price quotations on ex-dividend day activity. We find that abnormal ex-dividend day returns increase in the 1/16 and decimal pricing eras, relative to the 1/8 era, which is inconsistent with microstructure explanations of ex-day price movements. We also find that abnormal returns increase in conjunction with a May 1997 reduction in the capital gains tax rate, as they should if relative taxation of dividends and capital gains affects ex-day pricing. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Finance | - |
dc.title | Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1046/j.1540-6261.2003.00617.x | - |
dc.identifier.scopus | eid_2-s2.0-0344100134 | - |
dc.identifier.volume | 58 | - |
dc.identifier.issue | 6 | - |
dc.identifier.spage | 2611 | - |
dc.identifier.epage | 2636 | - |
dc.identifier.isi | WOS:000186755300012 | - |