Ex-Dividend Day Behaviour in the Absence of Taxes and Price Discreteness
We examine the ex-dividend day behaviour in a unique setting where (1) there are neither taxes on dividends nor on capital gains,(2) stock prices have been decimalized,(3) dividends are distributed annually,and (4) we have data that enable us to examine bid-ask bounce effects. In this economy,any price decline that is smaller than the dividends can not be attributed to taxes and price discreteness. Like previous studies,we find that the stock price drops by less than the amount of dividends and there is a significant positive ex-day return. By examining abnormal volumes around the exdividend day,we find no evidence of short-term trading. We are able to account for our results using market microstructure models. When the impact of market microstructure is taken into account,the ex-dividend drop is not significantly different to the value of the dividend paid.
dividends bid-ask spread tax effects market microstructure tick size
Khamis Al Yahyaee Toan Pham Terry Walter
School of Banking and Finance,University of New South Wales,Sydney,NSW 2052,Australia
国际会议
成都
英文
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）