File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.2307/2331116
- Scopus: eid_2-s2.0-84974505721
- WOS: WOS:A1995RH07200001
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Investors’ Heterogeneity, Prices, and Volume Around the Ex-Dividend Day
Title | Investors’ Heterogeneity, Prices, and Volume Around the Ex-Dividend Day |
---|---|
Authors | |
Issue Date | 1995 |
Citation | Journal of Financial and Quantitative Analysis, 1995, v. 30, n. 2, p. 171-198 How to Cite? |
Abstract | This paper analyzes the relationship between tax heterogeneity and the behavior of stock prices and trading volume around the ex-dividend day within an equilibrium framework. We conclude that, even in a world without transaction costs, the price drop on the ex-day need not be equal to the dividend amount. Our model accounts for the higher market trading volume around the ex-day, and shows this to be a function of tax heterogeneity among traders. We show that the volume of trade around the ex-day contains information about investors’ tax preferences above and beyond the information contained in the ex-day price alone. consistent with the model’s predictions, our empirical analysis reveals that as the risk associated with the ex-dividend day increases, or tax heterogeneity decreases, trading volume decreases. © 1995, School of Business Administration, University of Washington. All rights reserved. |
Persistent Identifier | http://hdl.handle.net/10722/326094 |
ISSN | 2023 Impact Factor: 3.7 2023 SCImago Journal Rankings: 3.980 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Michaely, Roni | - |
dc.contributor.author | Vila, Jean Luc | - |
dc.date.accessioned | 2023-03-09T09:57:59Z | - |
dc.date.available | 2023-03-09T09:57:59Z | - |
dc.date.issued | 1995 | - |
dc.identifier.citation | Journal of Financial and Quantitative Analysis, 1995, v. 30, n. 2, p. 171-198 | - |
dc.identifier.issn | 0022-1090 | - |
dc.identifier.uri | http://hdl.handle.net/10722/326094 | - |
dc.description.abstract | This paper analyzes the relationship between tax heterogeneity and the behavior of stock prices and trading volume around the ex-dividend day within an equilibrium framework. We conclude that, even in a world without transaction costs, the price drop on the ex-day need not be equal to the dividend amount. Our model accounts for the higher market trading volume around the ex-day, and shows this to be a function of tax heterogeneity among traders. We show that the volume of trade around the ex-day contains information about investors’ tax preferences above and beyond the information contained in the ex-day price alone. consistent with the model’s predictions, our empirical analysis reveals that as the risk associated with the ex-dividend day increases, or tax heterogeneity decreases, trading volume decreases. © 1995, School of Business Administration, University of Washington. All rights reserved. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Financial and Quantitative Analysis | - |
dc.title | Investors’ Heterogeneity, Prices, and Volume Around the Ex-Dividend Day | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.2307/2331116 | - |
dc.identifier.scopus | eid_2-s2.0-84974505721 | - |
dc.identifier.volume | 30 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 171 | - |
dc.identifier.epage | 198 | - |
dc.identifier.eissn | 1756-6916 | - |
dc.identifier.isi | WOS:A1995RH07200001 | - |