Ex dividend day stock price behavior: discreteness or tax-induced clienteles?
Article Abstract:
Discreteness plays a vital role in illustrating dynamics in ex dividend day stock price behavior. Utilization of a simple model of trading around the ex dividend date showed that the price-drop-to-dividend ratio is greatly influenced by discrete trading prices. The price-drop-to-dividend ratio generally increase with dividends but decreases between tick multiples. Ex day behavior can also be seen in taxable cash dividends and nontaxable cash dividends.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1998
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The capital gain lock-in effect and long-horizon return reversal
Article Abstract:
The paper offers an asset pricing model with a capital gain lock-in effect and explains why the results in capital gains created by high returns in previous periods are lower in subsequent periods.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2001
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