- 期刊
WHAT EXPLAINS THE COMMONLY OBSERVED EX-DIVIDEND DAY PRICE BEHAVIOR OF STOCKS?
摘要
It is a well-known fact that the stock price drops less than the amount of dividend on ex-dividend days. We test the relative importance of two well-known theories-the tax theory and the market microstructure theory-in explaining the ex-dividend day behavior of Real Estate Investment Trust (REIT) stocks. We use REITs because of a special tax treatment applicable to REIT dividends, which facilitates the testing of the tax theory and comparing it with the market microstructure theory. Our empirical results support the tax theory but also suggest that the microstructure theory is necessary for a complete explanation of the ex-dividend day behavior.
參考文獻
Bali, R., & Hite, G. L. (1998). Ex-dividend day stock price behavior: Discreteness or tax-induced clienteles? Journal of Financial Economics, 47, 127-159. doi:10.1016/S0304-405X(97)00041-X
Boyd, J. H., & Jagannathan, R. (1994). Ex-dividend price behavior of common stocks. The Review of Financial Studies, 7, 711-741. doi:10.1093/rfs/7.4.711
Chou, R. K., Lee, W.-C., & Chen, S.-S. (2005). The market reaction around exdates of stock splits before and after decimalization. Review of Pacific Basin Financial Markets and Policies, 8, 201-216. doi:10.1142/S0219091505000415
Cloyd, C. B., Li, O. Z., & Weaver, C. D. (2006). Ticks and tax: The effects of price discreteness and taxation on ex-dividend day returns. The Journal of the American Taxation Association, 28(2), 23-46. doi:10.2308/jata.2006.28.2.23
Eades, K. M., Hess, P. J., & Kim, E. H. (1984). On interpreting security returns during the ex-dividend period. Journal of Financial Economics, 13(1), 3-34. doi:10.1016/0304-405X(84)90030-8
延伸閱讀
- 魏慧珊（2011）。Corporate Governance and Executive Stock Options' Influence on Dividend Payout。財務金融學刊，19(3)，1-40。https://doi.org/10.6545/JFS.2011.19(3).1
- 蘇硯農（2017）。Does Preferred Stocks Almost Stochastic Dominate Common Stocks?〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU201704332
- 林宜勉、游淑禎（2003）。The Relationship between Dividend Signal and Future Earnings。台灣管理學刊，3(2)，41-63。https://doi.org/10.6295/TAMJ.2003.0302.03
- 臧仕維、蔡永順、張俊評、陳美智（2023）。The Relationship Between Dividend Policy and Stock Abnormal Returns。藝見學刊，(25)，51-64。https://doi.org/10.6207/ART-VISION.202304_(25).051-064
- 林彥良（2006）。A study on dividend announcement and stock-option strategies〔碩士論文，中原大學〕。華藝線上圖書館。https://doi.org/10.6840/cycu200600523