메뉴 건너뛰기




Volumn 61, Issue 1, 2006, Pages 463-490

Investor tax heterogeneity and ex-dividend day trading volume

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33645055931     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2006.00842.x     Document Type: Article
Times cited : (59)

References (27)
  • 1
    • 0041152114 scopus 로고    scopus 로고
    • A theory of dividends based on taxclienteles
    • Allen, Franklin, Antonio E. Bernardo, and Ivo Welch, 2000, A theory of dividends based on taxclienteles, Journal of Finance 55, 2499-2536.
    • (2000) Journal of Finance , vol.55 , pp. 2499-2536
    • Allen, F.1    Bernardo, A.E.2    Welch, I.3
  • 2
    • 0036808425 scopus 로고    scopus 로고
    • The effect of shareholder-level dividend taxes on stock prices: Evidence from the Revenue Reconciliation Act of 1993
    • Ayers, Ben C., C. Bryan Cloyd, and John R. Robinson, 2002, The effect of shareholder-level dividend taxes on stock prices: Evidence from the Revenue Reconciliation Act of 1993, The Accounting Review 77, 933-947.
    • (2002) The Accounting Review , vol.77 , pp. 933-947
    • Ayers, B.C.1    Cloyd, C.B.2    Robinson, J.R.3
  • 4
    • 84977715787 scopus 로고
    • The January anomaly: Effects of low share price, transaction costs, and bid-ask bias
    • Bhardwaj, Ravinder K., and Leroy D. Brooks, 1992, The January anomaly: Effects of low share price, transaction costs, and bid-ask bias, Journal of Finance 47, 553-575.
    • (1992) Journal of Finance , vol.47 , pp. 553-575
    • Bhardwaj, R.K.1    Brooks, L.D.2
  • 5
    • 0035531888 scopus 로고    scopus 로고
    • Investors' trade size and trading responses around earnings announcements: An empirical investigation
    • Bhattacharya, Nilabhra, 2001, Investors' trade size and trading responses around earnings announcements: An empirical investigation, The Accounting Review 76, 221-244.
    • (2001) The Accounting Review , vol.76 , pp. 221-244
    • Bhattacharya, N.1
  • 6
    • 0002438231 scopus 로고
    • Information value and investor wealth: The case of earnings announcements
    • Cready, William M., 1988, Information value and investor wealth: The case of earnings announcements, Journal of Accounting Research 26, 1-27.
    • (1988) Journal of Accounting Research , vol.26 , pp. 1-27
    • Cready, W.M.1
  • 7
    • 0000458461 scopus 로고
    • The information content of annual reports: A price and trading response analysis
    • Cready, William M., and Patricia G. Mynatt, 1991, The information content of annual reports: A price and trading response analysis, The Accounting Review 66, 291-312.
    • (1991) The Accounting Review , vol.66 , pp. 291-312
    • Cready, W.M.1    Mynatt, P.G.2
  • 8
    • 0011348340 scopus 로고    scopus 로고
    • A test of the theory of tax clienteles for dividend policies
    • Dhaliwal, Dan S., Merle Erickson, and Robert Trezevant, 1999, A test of the theory of tax clienteles for dividend policies, National Tax Journal 52, 179-194.
    • (1999) National Tax Journal , vol.52 , pp. 179-194
    • Dhaliwal, D.S.1    Erickson, M.2    Trezevant, R.3
  • 9
    • 0038015890 scopus 로고    scopus 로고
    • Is a dividend tax penalty incorporated into common stock return?
    • Dhaliwal, Dan S., Oliver Zhen Li, and Robert Trezevant, 2003, Is a dividend tax penalty incorporated into common stock return? Journal of Accounting and Economics 35, 155-178.
    • (2003) Journal of Accounting and Economics , vol.35 , pp. 155-178
    • Dhaliwal, D.S.1    Li, O.Z.2    Trezevant, R.3
  • 10
    • 0003164748 scopus 로고    scopus 로고
    • Disappearing dividends: Changing firm characteristics or lower propensity to pay?
    • Fama, Eugene F., and Kenneth R. French, 2001, Disappearing dividends: Changing firm characteristics or lower propensity to pay? Journal of Financial Economics 60, 3-43.
    • (2001) Journal of Financial Economics , vol.60 , pp. 3-43
    • Fama, E.F.1    French, K.R.2
  • 11
    • 0039403114 scopus 로고    scopus 로고
    • Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes
    • Frank, Murray, and Ravi 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, 161-188.
    • (1998) Journal of Financial Economics , vol.47 , pp. 161-188
    • Frank, M.1    Jagannathan, R.2
  • 12
  • 13
    • 1842743712 scopus 로고    scopus 로고
    • Institutional holdings and payout policy
    • Cornell University
    • Grinstein, Yaniv, and Roni Michaely, 2003, Institutional holdings and payout policy, Working paper, Cornell University.
    • (2003) Working Paper
    • Grinstein, Y.1    Michaely, R.2
  • 14
    • 0042170206 scopus 로고    scopus 로고
    • Dividends, share repurchases, and the substitution hypothesis
    • Grullon, Gustavo, and Roni Michaely, 2002, Dividends, share repurchases, and the substitution hypothesis, Journal of Finance 57, 1649-1684.
    • (2002) Journal of Finance , vol.57 , pp. 1649-1684
    • Grullon, G.1    Michaely, R.2
  • 15
    • 0000929257 scopus 로고
    • Short-term trading around ex-dividend days: Additional evidence
    • Karpoff, Jonathan M., and Ralph A. Walkling, 1988, Short-term trading around ex-dividend days: Additional evidence, Journal of Financial Economics 21, 291-298.
    • (1988) Journal of Financial Economics , vol.21 , pp. 291-298
    • Karpoff, J.M.1    Walkling, R.A.2
  • 16
    • 21844514033 scopus 로고
    • The ex-dividend-day behavior of stock prices: The case of Japan
    • Kato, Kiyoshi, and Uri Loewenstein, 1995, The ex-dividend-day behavior of stock prices: The case of Japan, Review of Financial Studies 8, 817-847.
    • (1995) Review of Financial Studies , vol.8 , pp. 817-847
    • Kato, K.1    Loewenstein, U.2
  • 17
    • 0034399514 scopus 로고    scopus 로고
    • Prices, liquidity, and the information content of trades
    • Koski, Jennifer Lynch, and Roni Michaely, 2000, Prices, liquidity, and the information content of trades, Review of Financial Studies 13, 659-696.
    • (2000) Review of Financial Studies , vol.13 , pp. 659-696
    • Koski, J.L.1    Michaely, R.2
  • 18
    • 0032263361 scopus 로고    scopus 로고
    • Who trades around the ex-dividend day? Evidence from NYSE audit file data
    • Koski, Jennifer Lynch, and John T. Scruggs, 1998, Who trades around the ex-dividend day? Evidence from NYSE audit file data, Financial, Management 27, 58-72.
    • (1998) Financial, Management , vol.27 , pp. 58-72
    • Koski, J.L.1    Scruggs, J.T.2
  • 19
    • 84944838051 scopus 로고
    • Volume for winners and losers: Taxation and other motives for stock trading
    • Lakonishok, Josef, and Seymour Smidt, 1986, Volume for winners and losers: Taxation and other motives for stock trading, Journal of Finance 41, 951-974.
    • (1986) Journal of Finance , vol.41 , pp. 951-974
    • Lakonishok, J.1    Smidt, S.2
  • 22
    • 0002304338 scopus 로고    scopus 로고
    • Inferring investor behavior: Evidence from TORQ data
    • Lee, Charles M. C., and Balkrishna Radhakrishna, 2000, Inferring investor behavior: Evidence from TORQ data, Journal of Financial Markets 3, 83-111.
    • (2000) Journal of Financial Markets , vol.3 , pp. 83-111
    • Lee, C.M.C.1    Radhakrishna, B.2
  • 23
    • 84974505721 scopus 로고
    • Investors' heterogeneity, prices, and volume around the ex-dividend day
    • Michaely, Roni, and Jean-Luc Vila, 1995, Investors' heterogeneity, prices, and volume around the ex-dividend day, Journal of Financial and Quantitative Analysis 30, 171-198.
    • (1995) Journal of Financial and Quantitative Analysis , vol.30 , pp. 171-198
    • Michaely, R.1    Vila, J.-L.2
  • 24
    • 0347211610 scopus 로고    scopus 로고
    • Trading volume with private valuation: Evidence from the ex-dividend day
    • Michaely, Roni, and Jean-Luc Vila, 1996, Trading volume with private valuation: Evidence from the ex-dividend day, Review of Financial Studies 9, 471-509.
    • (1996) Review of Financial Studies , vol.9 , pp. 471-509
    • Michaely, R.1    Vila, J.-L.2
  • 25
    • 0030268348 scopus 로고    scopus 로고
    • A model of trading volume with tax-induced heterogeneous valuation and transaction costs
    • Michaely, Roni, Jean-Luc Vila, and Jiang Wang, 1996, A model of trading volume with tax-induced heterogeneous valuation and transaction costs, Journal of Financial Intermediation 5, 340-371.
    • (1996) Journal of Financial Intermediation , vol.5 , pp. 340-371
    • Michaely, R.1    Vila, J.-L.2    Wang, J.3
  • 26
    • 0040362504 scopus 로고    scopus 로고
    • Time variation of ex-dividend day stock returns and corporate dividend capture: A reexamination
    • Naranjo, Andy, M. Nimalendran, and Mike Ryngaert, 2000, Time variation of ex-dividend day stock returns and corporate dividend capture: A reexamination, Journal of Finance 55, 2357-2372.
    • (2000) Journal of Finance , vol.55 , pp. 2357-2372
    • Naranjo, A.1    Nimalendran, M.2    Ryngaert, M.3
  • 27
    • 0000095552 scopus 로고
    • A heteroskedasticity consistent covariance matrix estimator and a direct test for heteroskedasticity
    • White, Halbert, 1980, A heteroskedasticity consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817-838.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.