Journal of Financial Economics Vol. 16 No. 3 1986
Tax-induced trading around ex-dividend days
Abstract
This paper investigates trading volume around ex-dividend days. For taxable distributions (cash dividends), it is found that trading volume increases significantly around the ex-dividend day. This increase is more pronounced for high yield, actively traded stocks and after brokerage commissions became negotiable. The results are consistent with the hypothesis that short-term traders have an impact on ex-day price behavior, at least for taxable distributions. For non-taxable distributions (stock splits and stock dividends) we find negative abnormal volume around ex-day.
- DOI
- 10.1016/0304-405x(86)90032-2
- Volume
- 16
- Issue
- 3
- Pages
- 287-319
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref