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Short-term trading around ex-dividend days
15 references·16 citing·39 second hop
Short-term trading around ex-dividend days (1988)Short-term trading around ex-dividend daysThe Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…Tax-induced trading around ex-dividend days (1986)Tax-induced trading around ex…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Transaction costs and the small firm effect (1983)Transaction costs and the sma…Transaction costs and the small firm effect (1983)Transaction costs and the sma…Trading Cost: The Critical Link Between Investment Information and Results (1983)Trading Cost: The Critical Li…Information Effects on the Bid-Ask Spread (1983)Information Effects on the Bi…The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)The Ex-Dividend Day Behavior …Dividends and Taxes: Some Empirical Evidence (1982)Dividends and Taxes: Some Emp…Liquidity Changes Following Stock Splits (1979)Liquidity Changes Following S…Determinants of bid-asked spreads in the over-the-counter market (1974)Determinants of bid-asked spr…Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market (1972)Competition and the Pricing o…The Cost of Transacting (1968)The Cost of TransactingJuicing the dividend yield: Mutual funds and the demand for dividends (2015)Juicing the dividend yield: M…The dividend month premium (2013)The dividend month premiumMarket Liquidity—Theory and Empirical Evidence (2013)Market Liquidity—Theory and E…Investor Tax Heterogeneity and Ex‐Dividend Day Trading Volume (2006)Investor Tax Heterogeneity an…Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts (2003)Dividend Taxes and Share Pric…Large Shareholders and Dividends: Evidence from U.S. Tax Reforms (2002)Large Shareholders and Divide…Taxation, Risk-Taking, and Household Portfolio Behavior (2001)Taxation, Risk-Taking, and Ho…Time Variation of Ex‐Dividend Day Stock Returns and Corporate Dividend Capture: A Reexamination (2000)Time Variation of Ex‐Dividend…Debt, Agency, and Management Contracts in REITs: The External Advisor Puzzle (2000)Debt, Agency, and Management …Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds (1999)Ex-day behavior with dividend…Taxes and dividends: The UK evidence (1996)Taxes and dividends: The UK e…The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange (1995)The Effect of Tax Heterogenei…Ex‐Day Behavior: Tax or Short‐Term Trading Effects (1995)Ex‐Day Behavior: Tax or Short…A Market Microstructure Explanation of Ex-Day Abnormal Returns (1992)A Market Microstructure Expla…A direct examination of the dividend clientele hypothesis (1992)A direct examination of the d…Dividend capture in NASDAQ stocks (1990)Dividend capture in NASDAQ st…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Measuring the Information Content of Stock Trades (1991)Theory of rational option pricing (2005)Continuous Auctions and Insider Trading (1985)Using daily stock returns (1985)Estimating the components of the bid/ask spread (1988)Market liquidity and volume around earnings announcements (1994)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The Effects of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns (1989)Abnormal returns to a fundamental analysis strategy. (1998)Arbitrage risk and the book-to-market anomaly (2003)Financial Theory and Corporate Policy. (1980)The relationship between return and market value of common stocks (1981)Anatomy of Initial Public Offerings of Common Stock (1988)Market Expectations in the Cross‐Section of Present Values (2013)Common Risk Factors in Cryptocurrency (2022)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)New Evidence That Taxes Affect the Valuation of Dividends (1984)On interpreting security returns during the ex-dividend period (1984)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Commonality in liquidity (2000)Market Liquidity and Trading Activity (2001)Trade Size and Components of the Bid-Ask Spread (1995)Valuation in Over-the-Counter Markets (2007)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)
this work references cited by second hop

References

  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1968The Cost of Transacting1,909 cited
  • 1983Information Effects on the Bid-Ask Spread1,875 cited
  • 1982Dividends and Taxes: Some Empirical Evidence677 cited
  • 1974Determinants of bid-asked spreads in the over-the-counter market560 cited
  • 1983Transaction costs and the small firm effect529 cited
  • 1982The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect440 cited
  • 1983Transaction costs and the small firm effect431 cited
  • 1986Tax-induced trading around ex-dividend days331 cited
  • 1979Liquidity Changes Following Stock Splits326 cited
  • 1972Competition and the Pricing of Dealer Service in the Over-the-Counter Stock Market178 cited
  • 1983Trading Cost: The Critical Link Between Investment Information and Results167 cited

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Cited by

  • 1999Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds130 cited
  • 2001Taxation, Risk-Taking, and Household Portfolio Behavior124 cited
  • 2002Large Shareholders and Dividends: Evidence from U.S. Tax Reforms123 cited
  • 2000Debt, Agency, and Management Contracts in REITs: The External Advisor Puzzle113 cited
  • 1990Dividend capture in NASDAQ stocks109 cited
  • 2015Juicing the dividend yield: Mutual funds and the demand for dividends108 cited
  • 2013The dividend month premium107 cited
  • 1996Taxes and dividends: The UK evidence105 cited
  • 2013Market Liquidity—Theory and Empirical Evidence101 cited
  • 1995Ex‐Day Behavior: Tax or Short‐Term Trading Effects99 cited
  • 2006Investor Tax Heterogeneity and Ex‐Dividend Day Trading Volume97 cited
  • 1992A Market Microstructure Explanation of Ex-Day Abnormal Returns96 cited
  • 1995The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange94 cited
  • 1992A direct examination of the dividend clientele hypothesis91 cited
  • 2003Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts88 cited
  • 2000Time Variation of Ex‐Dividend Day Stock Returns and Corporate Dividend Capture: A Reexamination80 cited