Work

Who Trades around the Ex-Dividend Day? Evidence from NYSE Audit File Data

Year: 1998

Type: article

Abstract: We analyze trading volume around ex-dividend days. We use NYSE audit file data to decompose total trading volume by trader type. These data permit us to directly test detailed hypotheses regarding the identity of traders around the ex-dividend day. We are able to distinguish between dividend-capture trading by taxable corporations and short-term trading by securities dealers. We find evidence of significant abnormal volume by securities dealers that is positively related to dividend yield and negatively related to transaction costs. We also document some abnormal trading volume consistent with corporate dividend-capture trading, but little evidence of tax-clientele trading.

Source: Financial Management

DOI: 10.2307/3666275

Authors: Jennifer Lynch Koski, John T. Scruggs

Institutions: University of Washington, Barclays (United Kingdom)

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2060596068

FWCI: 2.963

Cites:

Cited by: 103

Related to: 10