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行為財務學與行為會計學整合型計畫─子計畫四:除權日的下單行為和下單原因
Date Issued
2004
Date
2004
Author(s)
DOI
922416H002048EF
Abstract
This paper examines order flows around ex-dividend dates on the Taiwan Stock
Exchange. Not only does Taiwan’s tax code allow us to separate the tax hypothesis
from other explanations, but Taiwan’s data also permits us to examine the
heterogeneity of investors’ behavior around ex-dividend dates. We find that, despite a
similar stock return behavior for both taxable and non-taxable distributions, the order
behavior is very different across the two distributions. We find strong evidence that
small investors sell before the ex-date and start to buy from the ex-date, which
suggests that small investors prefer low-priced stocks. We find weaker evidence
consistent with the tax hypothesis: foreigners and large domestic investors who are
tax-disadvantaged avoid participating in dividends. We also find strong evidence that
institutions play the role of short-term arbitrageurs around ex-dividend dates.
Exchange. Not only does Taiwan’s tax code allow us to separate the tax hypothesis
from other explanations, but Taiwan’s data also permits us to examine the
heterogeneity of investors’ behavior around ex-dividend dates. We find that, despite a
similar stock return behavior for both taxable and non-taxable distributions, the order
behavior is very different across the two distributions. We find strong evidence that
small investors sell before the ex-date and start to buy from the ex-date, which
suggests that small investors prefer low-priced stocks. We find weaker evidence
consistent with the tax hypothesis: foreigners and large domestic investors who are
tax-disadvantaged avoid participating in dividends. We also find strong evidence that
institutions play the role of short-term arbitrageurs around ex-dividend dates.
Subjects
ex-date
stock dividend
tax
noise
order imbalance
Publisher
臺北市:國立臺灣大學財務金融學系暨研究所
Coverage
計畫年度:92;起迄日期:2003-09-01/2004-08-31
Type
report
File(s)
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Name
922416H002048EF.pdf
Size
37.27 KB
Format
Adobe PDF
Checksum
(MD5):9635ce3248da355762a842f0b465d7de