Nonstandard-settlement transactions

Financial Management

Volumn 27, Issue 1, 1998, Pages 31-46

  Angel, James J ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032368278     PISSN: 00463892     EISSN: None     Source Type: Journal    
DOI: 10.2307/3666149     Document Type: Article

References (41)

1. Anders, G., 1988a, "Seizing Stocks: Japanese Players Grab Big Dividend Income in Latest Market Ploy," Wall Street Journal (May 20), A1.
2. Anders, G., 1988b, "IRS Alleges Dividend Capture Tactics Result in Abuses of Tax Exemption," Wall Street Journal (February 29), A31.
3. Ang, J. and C.W. Hodges, 1993, "Time Series Tests of the Marginal Value of Voting Rights in Proxy Contests for Control," Florida State University Working Paper.
4. Angel, J.J., 1996, "Who Gets Price Improvement on the NYSE?," Georgetown University Working Paper.
5. Barker, C.A., 1959, "Price Changes of Stock-Dividend Shares at Ex-Dividend Dates," Journal of Finance (September), 373-378.
6. Bary, A., 1992, "Piece Dividend: How to Pay When Pressed," Barron's (August 24), 29.
7. Bernanke, B.S., 1990, "Clearing and Settlement During the Crash," Review of Financial Studies, 133-151.
8. Brown, K.C. and S.L. Lummer, 1984, "The Cash Management Implications of a Hedged Dividend Capture Strategy," Financial Management (Winter), 7-17.
9. Campbell, J.A. and W. Beranek, 1955, "Stock Price Behavior on Ex-Dividend Dates," Journal of Finance (December), 425-429.
10. Caskey, J.P., 1994, Fringe Banking: Check-Cashing Outlets, Pawnshops, and the Poor, Russell Sage Foundation, New York.
11. Dubofsky, D.A., 1992, "A Market Microstructure Explanation of Ex-Day Abnormal Returns," Financial Management (Winter), 32-43.
12. Eades, K.M., P.J. Hess, and E.H. Kim, 1984, "On Interpreting Security Returns During the Ex-Dividend Period," Journal of Financial Economics (March), 3-34.
13. Elton, E.J., and M.J. Gruber, 1970, "Marginal Stockholder Tax Rates and the Clientele Effect," Review of Economics and Statistics (February), 68-74.
14. Finnerty, J.D., 1981, "The Behavior of Electric Utility Common Stock Prices Near the Ex-Dividend Date," Financial Management (Winter), 59-69.
15. Giddy, I., A. Saunders, and W. Ingo, 1996, "Alternative Models for Clearance and Settlement: The Case of the Single European Capital Market," Journal of Money, Credit and Banking (November), Part 2, 986-1000.
16. Grammatikos, T., 1989, "Dividend Stripping, Risk Exposure, and the Effect of the 1984 Tax Reform Act on the Ex-Dividend Day Behavior," Journal of Business (April), 157-173.
17. Group of Thirty, Inc., 1989, Clearance and Settlement Systems in the World's Securities Markets, Group of Thirty, New York and London.
18. Hasbrouck, J., 1992, "Using the TORQ Database," NYSE Working Paper.
19. Kalay, A., 1982, "The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect," Journal of Finance (September), 1059-1070.
20. Karpoff, J.M. and R.A. Walkling, 1988, "Short-Term Trading Around Ex-Dividend Days: Additional Evidence," Journal of Financial Economics (September), 291-298.
21. Karpoff, J.M. and R.A. Walkling, 1990, "Dividend-Capture in NASDAQ Stocks," Journal of Financial Economics (November/December), 39-65.
22. Knez, P.J. and M. Ready, 1997, "On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions," Journal of Finance (September), 1355-1382.
23. Koski, J.L., 1993, "Nonstandard-Settlement Trading on Ex-Dividend Days," University of Washington Working Paper.
24. Koski, J.L., 1996, "A Microstructure Analysis of Ex-Dividend Stock Price Behavior Before and After the 1984 and 1986 Tax Reform Acts," Journal of Business (July), 313-338.
25. Kyle, A.S. and T.A. Marsh, 1993, "On the Economics of Clearance and Settlement Systems," Duke University Working Paper.
26. Lakonishok, J. and M. Levi, 1982, "Weekend Effects on Stock Returns: A Note," Journal of Finance (July), 883-889.
27. Lakonishok, J. and T. Vermaelen, 1986, "Tax-Induced Trading Around Ex-Dividend Days," Journal of Financial Economics (July), 287-320.
28. Lee, C.M.C. and M.A. Ready, 1991, "Inferring Trade Direction from Intraday Data," Journal of Finance (June), 733-746.
29. Levine, K.S., 1996, "Was Trade Settlement Always on T+3? A History of Clearance and Settlement Changes," Friends of Financial History (Summer), 20-27.
30. Michaely, R., 1991, "Ex-Dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act," Journal of Finance (July), 845-860.
31. Michaely, R. and J.L. Vila, 1996, "Trading Volume With Private Valuation: Evidence from the Ex-Dividend Day," Review of Financial Studies (Summer), 471-509.
32. Mitchell, M.L. and J.H. Mulherin, 1994, "The Impact of Public Information on the Stock Market," Journal of Finance (July), 923-950.
33. Mohanty, S.K., 1994, "Returns from Hedged Dividend Capture Programs and Dutch Auction Rate Preferred Stock," Financial Management (Spring), 11-13.
34. Presidential Task Force on Market Mechanisms (The Brady Commission), 1988, Report of the Presidential Task Force on Market Mechanisms, US Government Printing Office, Washington, DC.
35. Robin, A.J., 1991, "The Impact of the 1986 Tax Reform Act on Ex-Dividend Day Returns," Financial Management (Spring), 60-70.
36. Securities and Exchange Commission, 1993, Release No. 33-7022, Washington, DC.
37. Sesit, M.R., 1990, "Dividend Plays Revived with New Twists," Wall Street Journal (November 21), C1.
38. Solnik, B., 1990, "The Distribution of Daily Stock Returns and Settlement Procedures: The Paris Bourse," Journal of Finance (December), 1601-1609.
39. Solnik, B. and L. Bousquet, 1990, "Day-of-the-Week Effect on the Paris Bourse," Journal of Banking and Finance (August), 461-468.
40. Theobald, M. and P. Yallup, 1996, "Settlement, Tax and Non-Synchronous Effects in the Basis of UK Stock Index Futures," Journal of Banking and Finance (November), 1509-1530.
41. Zivney, T.L. and M.J. Alderson, 1986, "Hedged Dividend Capture with Stock Index Options," Financial Management (Summer), 5-12.