Order imbalance on ex-dividend days

Journal of Financial Research

Volumn 26, Issue 1, 2003, Pages 65-75

  Jakob, Keith ^a   Ma, Tongshu ^b  

^a UNIVERSITY OF MONTANA   (United States)

^b UNIVERSITY OF UTAH   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0142023245     PISSN: 02702592     EISSN: None     Source Type: Journal    
DOI: 10.1111/1475-6803.00045     Document Type: Article

References (7)

1. Bali, R. and G. Hite, 1998, Ex-dividend day stock price behavior: Discreteness or tax-induced clienteles? Journal of Financial Economics 47, 127-59.
2. Campbell, J. and W. Beranek, 1955, Stock price behavior on ex-dividend dates, Journal of Finance 10, 425-29.
3. Dubofsky, D., 1992, A market microstructure explanation of ex-day abnormal returns, Financial Management 21, 32-43.
4. Elton, E. and M. Gruber, 1970, Marginal stockholder tax rates and the clientele effect, Review of Economics and Statistics 52, 68-74.
5. Frank, M. and R. Jagannathan, 1998, Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes, Journal of Financial Economics 47, 161-88.
6. Hasbrouck, J. 1992, Using the TORQ database, Working paper, New York University.
7. Kyle, A., 1985, Continuous auctions and insider trading, Econometrica 53, 1315-36.