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Evidence of ex-dividend trading by investor tax category
16 references·2 citing·41 second hop
Evidence of ex-dividend trading by investor tax category (2008)Evidence of ex-dividend trading by invest…New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor (2002)New Evidence of the Impact of…Cross-Border Investing with Tax Arbitrage: The Case of German Dividend Tax Credits (2001)Cross-Border Investing with T…Who Trades around the Ex-Dividend Day? Evidence from NYSE Audit File Data (1998)Who Trades around the Ex-Divi…Trading Volume with Private Valuation: Evidence from The Ex-Dividend Day (1996)Trading Volume with Private V…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…Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day (1995)Investors' Heterogeneity, Pri…Ex‐Day Behavior: Tax or Short‐Term Trading Effects (1995)Ex‐Day Behavior: Tax or Short…Ex-Dividend Price Behavior of Common Stocks (1994)Ex-Dividend Price Behavior of…Dividend capture in NASDAQ stocks (1990)Dividend capture in NASDAQ st…Short-term trading around ex-dividend days (1988)Short-term trading around ex-…Tax-induced trading around ex-dividend days (1986)Tax-induced trading around ex…The Ex-Dividend Day Behavior of Canadian Stock Prices: Tax Changes and Clientele Effects (1984)The Ex-Dividend Day Behavior …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…The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)The Ex-Dividend Day Behavior …Marginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…Recurring Firm Events and Predictable Returns: The Within-Firm Time Series (2018)Recurring Firm Events and Pre…Ex-dividend prices and investor trades: Evidence from Taiwan (2013)Ex-dividend prices and invest…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The Relation Between Price Changes and Trading Volume: A Survey (1987)Differential Interpretation of Public Signals and Trade in Speculative Markets (1995)A New Estimate of Transaction Costs (1999)Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)The Adjustment of Stock Prices to New Information (1969)Stock returns and the weekend effect (1980)The valuation effects of stock splits and stock dividends (1984)The real term structure and consumption growth (1988)Stock Prices and the Supply of Information (1991)The Adjustment of Stock Prices to New Information (2003)The Cost of Transacting (1968)Differences of Opinion Make a Horse Race (1993)Trading Volume and Serial Correlation in Stock Returns (1993)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)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)Dividend Policy, Growth, and the Valuation of Shares (1961)The Investment, Financing, and Valuation of the Corporation (1963)A Theory of Dividends Based on Tax Clienteles (2000)Exchange Rates and Fundamentals (2005)Measuring security price performance (1980)Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Trading Volume and Price Reactions to Public Announcements (1991)The effect of personal taxes and dividends on capital asset prices (1979)Capital Market Equilibrium with Transaction Costs (1986)Taxes and Business Strategy: A Planning Approach (1991)Ex-day behavior with dividend preference and limitations to short-term arbitrage: the case of Swedish lottery bonds (1999)Taxes on Tax‐Exempt Bonds (2010)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)A Model of Competitive Stock Trading Volume (1994)Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model (2006)Using daily stock returns (1985)Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex‐Dividend Pricing before and after Decimalization (2003)Shareholder Taxes in Acquisition Premiums: The Effect of Capital Gains Taxation (2003)Taxes and Capital Structure (2015)DEBT AND TAXES* (1977)Determinants of Corporate Dividend Policy in Jordan: An Application of the Tobit Model (2007)Payout Policy (2014)
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References

  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1982The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect440 cited
  • 1986Tax-induced trading around ex-dividend days332 cited
  • 1984On interpreting security returns during the ex-dividend period298 cited
  • 1984New Evidence That Taxes Affect the Valuation of Dividends287 cited
  • 2002New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor219 cited
  • 1996Trading Volume with Private Valuation: Evidence from The Ex-Dividend Day183 cited
  • 1995Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day173 cited
  • 1994Ex-Dividend Price Behavior of Common Stocks168 cited
  • 1988Short-term trading around ex-dividend days166 cited
  • 1984The Ex-Dividend Day Behavior of Canadian Stock Prices: Tax Changes and Clientele Effects143 cited
  • 2001Cross-Border Investing with Tax Arbitrage: The Case of German Dividend Tax Credits137 cited
  • 1990Dividend capture in NASDAQ stocks109 cited
  • 1998Who Trades around the Ex-Dividend Day? Evidence from NYSE Audit File Data103 cited
  • 1995Ex‐Day Behavior: Tax or Short‐Term Trading Effects

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99 cited
  • 1995The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange94 cited
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    • 2018Recurring Firm Events and Predictable Returns: The Within-Firm Time Series19 cited
    • 2013Ex-dividend prices and investor trades: Evidence from Taiwan17 cited