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Ex-Dividend Day Behaviour of Australian Share Prices
16 references·3 citing·43 second hop
Ex-Dividend Day Behaviour of Australian Share Prices (1986)Ex-Dividend Day Behaviour of Australian S…The Week-End Effect in Common Stock Returns: The International Evidence (1985)The Week-End Effect in Common…On interpreting security returns during the ex-dividend period (1984)On interpreting security retu…New Evidence That Taxes Affect the Valuation of Dividends (1984)New Evidence That Taxes Affec…A Further Investigation of the Weekend Effect in Stock Returns (1984)A Further Investigation of th…Tax Reform and Ex-Dividend Day Behavior (1983)Tax Reform and Ex-Dividend Da…Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence (1983)Stock Return Seasonalities an…Stock return seasonalities and the tax-loss selling hypothesis (1983)Stock return seasonalities an…The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)The Ex-Dividend Day Behavior …Day of the Week Effects and Asset Returns (1981)Day of the Week Effects and A…Stock returns and the weekend effect (1980)Stock returns and the weekend…Stock Returns and Dividend Yields: Some More Evidence (1980)Stock Returns and Dividend Yi…Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium (1980)Dividends, Short Selling Rest…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Dividends and taxes (1978)Dividends and taxesMarginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …Ex‐Dividend Day Behavior in the Absence of Taxes and Price Discreteness* (2008)Ex‐Dividend Day Behavior in t…Dividend policy of publicly quoted companies in emerging markets : the case of Jordan (2005)Dividend policy of publicly q…Analysts' dividend forecasts (2002)Analysts' dividend forecastsRisk measurement when shares are subject to infrequent trading (1979)Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Event study methodologies and the size effect (1986)Turn-of-month and pre-holiday effects on stock returns: Some international evidence (1992)Is size dead? A review of the size effect in equity returns (2011)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)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)The Behavior of Stock-Market Prices (1965)Time Series Analysis: Forecasting and Control (1977)Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility (1994)Order imbalance, liquidity, and market returns (2002)Size-related anomalies and stock return seasonality (1983)A transaction data study of weekly and intradaily patterns in stock returns (1986)Transactions, Volume, and Volatility (1994)The Message in Daily Exchange Rates (2002)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)Tax-induced trading around ex-dividend days (1986)Econometric Models and Economic Forecasts (1990)Industrial Structure and the Comparative Behavior of International Stock Market Indices (1992)International stock market linkages: Evidence from the pre- and post-October 1987 period (1993)Anomalies or illusions? Evidence from stock markets in eighteen countries (1994)Job Market Signaling (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Some anomalous evidence regarding market efficiency (1978)Efficient Capital Markets: II (1991)Is Information Risk a Determinant of Asset Returns? (2002)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Stock return variances (1986)Correlations in Price Changes and Volatility across International Stock Markets (1990)The Efficient Market Hypothesis and Its Critics (2003)The Investment, Financing, and Valuation of the Corporation (1963)A Theory of Dividends Based on Tax Clienteles (2000)Exchange Rates and Fundamentals (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)
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References

  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1980Stock returns and the weekend effect1,997 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1981Day of the Week Effects and Asset Returns1,173 cited
  • 1984A Further Investigation of the Weekend Effect in Stock Returns896 cited
  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1985The Week-End Effect in Common Stock Returns: The International Evidence771 cited
  • 1978Dividends and taxes760 cited
  • 1982The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect440 cited
  • 1983Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence319 cited
  • 1984On interpreting security returns during the ex-dividend period296 cited
  • 1984New Evidence That Taxes Affect the Valuation of Dividends287 cited
  • 1983Stock return seasonalities and the tax-loss selling hypothesis259 cited
  • 1980Stock Returns and Dividend Yields: Some More Evidence215 cited
  • 1980Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium

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207 cited
  • 1983Tax Reform and Ex-Dividend Day Behavior150 cited
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    • 2008Ex‐Dividend Day Behavior in the Absence of Taxes and Price Discreteness*25 cited
    • 2005Dividend policy of publicly quoted companies in emerging markets : the case of Jordan20 cited
    • 2002Analysts' dividend forecasts19 cited