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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/61749

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61749

Title:	Ex-dividend prices and investor trades: Evidence from Taiwan
Authors:	周行一;徐政義
Contributors:	財管系
Keywords:	Ex-dividend day;Dividend tax;Dividend clientele
Date:	2013-09
Issue Date:	2013-11-21 09:11:10 (UTC+8)
Abstract:	Based upon an examination of 987 ex-dividend events that took place on the Taiwan Stock Exchange between January 1992 and December 2006, we find that differential taxes are an important factor affecting share prices and the behavior of investors around the ex-dividend day. Ex-day price drop ratio increases with the average investor`s preference for dividend relative to capital gains. Excess volume around the ex-dividend day is positively correlated with the degree of tax heterogeneity and the gains from dividend-capturing activities, and is negatively associated with arbitrage risk and transaction costs. We also find that high tax-bracket investors sell shares cum-dividend, subsequently reversing to buy shares on the ex-dividend day, whereas low tax-bracket individual investors, proprietary traders and corporate shareholders trade in the opposite direction. Overall, our results provide support for the dynamic dividend clientele hypothesis.
Relation:	Pacific-Basin Finance Journal, 24 , 39-65
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.pacfin.2013.02.004
DOI:	10.1016/j.pacfin.2013.02.004
Appears in Collections:	[財務管理學系] 期刊論文

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