Do price discreteness and transactions costs affect stock returns? Comparing ex-dividend pricing before and after decimalization
Article Abstract:
Research on the New York Stock Exchange shows a rise in abnormal ex-dividend day returns during the 1/16th and decimal stock price quotation eras compared to the 1/8th era. This finding is not consistent with microstructure ex-day price movement explanations. Implications are discussed.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
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Cross-border listings and price discovery: evidence from U.S.-listed Canadian stocks
Article Abstract:
Price adjustments of 62 Canadian stocks listed on the New York Stock Exchange, Toronto Stock Exchange, American Stock Exchange and Nasdaq Stock Market are examined.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
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The impact of jumps in volatility and returns
Article Abstract:
An analysis of stochastic volatility models is provided.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
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