An examination of ex-dividend day stock price movements: the case of nontaxable master limited partnership distributions

Article Abstract:

This study examines the unit (stock) price and volume behavior of master limited partnerships (MLP) around the ex-dividend day. Since the dividends of MLPs are not taxable to the unitholder, tax based hypotheses predict no abnormal unit movements around the ex-day. Significant positive excess returns and volume are found before the ex-dividend day, and significant negative excess returns are found on the ex-dividend day. The findings which are not significantly impacted by the Tax Reform Act of 1986 suggest ex-day stock movements are not solely a function of investor marginal tax rates or corporate trading behavior. (Reprinted by permission of the publisher.)

Taxation, Dividends, Stockholders, Master limited partnerships

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An examination of stock market return volatility during overnight and intraday periods, 1964 - 1989

Article Abstract:

This paper examines the variance of hourly market returns during 1964 - 1989. Results indicate that return volatility falls from the opening hour until early afternoon and rises thereafter and is significantly greater for intraday versus overnight periods. Market variance is also shown to change significantly over time, rising after NASDAQ began in 1971, rising after trading in stock options began in 1973, falling after fixed commissions were eliminated in 1975, rising after trading in stock index futures was introduced in 1982, and falling after margin requirements for stock index futures became larger in 1988. (Reprinted by permission of the publisher.)

NASDAQ Market System

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Dispersion of financial analysts' earnings forecasts and the (option model) implied standard deviations of stock returns

Article Abstract:

The question of whether information implied by simultaneous levels of option and stock prices, specifically the implied standard deviation of returns, reflects other contemporaneously available information is examined. The observed dispersion across a number of financial analysts at a point in time in the forecasts of earnings per share for a given firm is used as the independent contemporaneous measure. Implied standard deviations are shown to reflect the contemporaneous dispersion in the forecasts of analysts incrementally, that is, beyond the information available from the historical time series of returns.

Models, Finance, Forecasts and trends, Securities industry, Investment analysis, Securities analysis, Earnings per share

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