Ex dividend day stock price behavior: Discreteness or tax-induced clienteles?

Journal of Financial Economics

Volumn 47, Issue 2, 1998, Pages 127-159

  Bali, Rakesh ^b   Hite, Gailen L ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Dividend taxation; Ex day; G12; G35; Price discreteness; Tax clienteles; Tick size

Indexed keywords

EID: 0000685023     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(97)00041-X     Document Type: Article

References (24)

1. Angel J. Tick size, share prices, and stock splits. Journal of Finance. 52:1997;655-681.
2. Bali, R., 1995. Essays on the information and tax effects of dividends on stock returns. Unpublished Ph.D. dissertation. Graduate School of Business, Columbia University, New York, NY.
3. Ball R., Kothari S., Shanken J. Problems in measuring portfolio performance: an application to contrarian investment strategies. Journal of Financial Economics. 38:1995;79-107.
4. Barclay M. Dividends, taxes and common stock prices: the ex-dividend day behavior of common stock prices before the income tax. Journal of Financial Economics. 19:1987;31-44.
5. Boyd J., Jagannathan R. Ex-dividend price behavior of common stocks. Review of Financial Studies. 7:1994;711-741.
6. Campbell J., Beranek W. Stock price behavior on ex-dividend dates. Journal of Finance. 10:1955;425-429.
7. Dubofsky D. A market microstructure explanation of ex-day abnormal returns. Financial Management winter. 1992:1992;32-43.
8. Durand D., May A. The ex-dividend day behavior of American telephone and telegraph stock. Journal of Finance. 15:1960;19-31.
9. Eades K., Hess P., Kim E. On interpreting security returns during the ex-dividend period. Journal of Financial Economics. 13:1984;3-35.
10. Eades K., Hess P., Kim E. Time-series variation in dividend pricing. Journal of Finance. 49:1994;1617-1638.
11. Elton E., Gruber M. Marginal stockholder tax rates and the clientele effect. Review of Economics and Statistics. 52:1970;68-74.
12. Frank, M., Jagannathan, R., 1997. Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes. The Journal of Financial Economics, forthcoming.
13. Grammatikos T. Dividend stripping, risk exposure, and the effect of the 1984 tax reform act on the ex-dividend day behavior. Journal of Business. 62:1989;157-173.
14. Grinblatt M., Masulis R., Titman S. The valuation effects of stock splits and stock dividends. Journal of Financial Economics. 13:1984;461-490.
15. Hausman J., Lo A., Mackinlay C. An ordered probit analysis of transaction stock prices. Journal of Financial Economics. 31:1992;319-379.
16. Kalay, A., 1978. Corporate dividend policy - a collection of related essays. Unpublished Ph.D. dissertation, Graduate School of Management, University of Rochester, Rochester, NY.
17. Kalay A. The ex-dividend day behavior of stock prices: a re-examination of the clientele effect. Journal of Finance. 37:1982;1059-1070.
18. Karpoff J., Walkling R. Short-term trading around ex-dividend days: additional evidence. Journal of Financial Economics. 21:1988;291-298.
19. Koski, J., 1993. Nonstandard settlement trading on ex-dividend days, Working paper. University of Washington, School of Business Administration, Seattle, WA.
20. Koski J. A microstructure analysis of ex-dividend stock price behavior before and after the 1984 and 1986 tax reform acts. Journal of Business. 69:1996;313-338.
21. Lakonishok J., Vermaelen T. Tax reform and ex-dividend behavior. Journal of Finance. 38:1983;1157-1179.
22. Michaely R. Ex-dividend day stock price behavior: the case of the 1986 tax reform act. Journal of Finance. 46:1991;845-859.
23. Miller M., Scholes M. Dividends and taxes: some empirical evidence. Journal of Political Economy. 90:1982;1118-1141.
24. Woolridge J. Ex-date stock price adjustment to stock dividends: a note. Journal of Finance. 38:1983;247-255.