https://scholars.lib.ntu.edu.tw/handle/123456789/414567
Title: | Who wants to trade around ex-dividend days? | Authors: | SHING-YANG HU Tseng, Yun Ian |
Issue Date: | 1-Dec-2006 | Journal Volume: | 35 | Journal Issue: | 4 | Start page/Pages: | 95 | Source: | Financial Management | Abstract: | We examine order flows around ex-dividend dates on the Taiwan Stock Exchange. By using Taiwan's data, we can examine the heterogeneity of investors' behavior around ex-dividend dates to test different hypotheses. We find that for both taxable and nontaxable samples, small investors sell before the ex date and buy from the ex date, suggesting that small investors prefer low-priced stocks. We find weaker evidence that tax-disadvantaged foreign and large domestic investors avoid participating in taxable dividends. We find strong evidence that tax-neutral institutions play the role of short-term arbitrageurs around ex-dividend dates. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414567 | ISSN: | 00463892 | DOI: | https://api.elsevier.com/content/abstract/scopus_id/33846151014 10.1111/j.1755-053X.2006.tb00161.x |
Appears in Collections: | 財務金融學系 |
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