WHAT EXPLAINS THE COMMONLY OBSERVED EX-DIVIDEND DAY PRICE BEHAVIOR OF STOCKS?

10.6293/AQAFA.201812_16.0008

Raad Jassim；Duong Nguyen；Joe Z. Shangguan；Gopala Vasudevan

Ex-dividend Day Stock Price Behavior ； Tax Theory ； Microstructure Theory ； Real Estate Investment Trust (REIT)

Advances in Quantitative Analysis of Finance and Accounting

16期（2018 / 12 / 31）

237 - 265

英文

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.

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