Journal of Financial Economics Vol. 21 No. 2 1988
Short-term trading around ex-dividend days
Abstract
A dividend tax penalty creates profitable trading opportunities for short-term traders with sufficiently low transaction costs. In stocks with ex-dividend day returns affected by short-term trading, ex-day returns are positively correlated with transaction costs. Data from 1964–1985 indicate that short-term traders are the marginal investors in high-yield stocks, primarily since the introduction of negotiated commissions on the NYSE. Short-term trading is not evident in low-yield stocks, nor does it appear prevalent before negotiated commissions.
- DOI
- 10.1016/0304-405x(88)90063-3
- Volume
- 21
- Issue
- 2
- Pages
- 291-298
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref