Who wants to trade around ex-dividend days?
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, different types of investors show entirely different patterns of order flows. For both taxable and non-taxable samples, 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 taxable dividends. We also find strong evidence that tax-neutral institutions play the role of short-term arbitrageurs around ex-dividend dates.
ex-date stock dividend tax noise order imbalance
Shing-yang Hu Yun-lan Tseng
Department of Finance, National Taiwan University, Room 715, No. 85, Sec. 4, Roosevelt Road, Taipei, National Taiwan University
国际会议
西安
英文
1-44
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）