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Applied Economics Letters Volume 18, 2011 - Issue 8
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Original Articles

Trading volume around ex-dividend days

Rakesh Bali Risk Return Consulting, 10 Ferncliff Rd, Scarsdale, NY, 10583, USACorrespondence[email protected]
&
Jack C. Francis Department of Economics and Finance, Baruch College, Zicklin School of Business, One Bernard Baruch Way, New York, NY, 10010, USA
Pages 769-772 | Published online: 21 Dec 2010

References

  • Bali , R. 2003a . Variation in ex day dividend pricing: myth or reality? . Journal of Economics and Finance , 27 : 190 – 210 .
  • Bali , R. 2003b . Seasonality in ex dividend day returns . Applied Economics Letters , 10 : 929 – 32 .
  • Bali , R. and Hite , G. L. 1998 . Ex dividend day stock price behavior: discreteness or tax-induced clienteles? . Journal of Financial Economics , 47 : 127 – 59 .
  • Dhaliwal , D. and Li , O. Z. 2006 . Investor tax heterogeneity and ex-dividend day trading volume . Journal of Finance , 61 : 463 – 90 .
  • Elton , E. and Gruber , M. 1970 . Marginal stockholder tax rates and the clientele effect . Review of Economics and Statistics , 52 : 68 – 74 .
  • Graham , J. , Michaely , R. and Roberts , M. R. 2003 . Do price discreteness and transaction costs affect stock returns? Comparing ex-dividend pricing before and after decimalization . Journal of Finance , 58 : 2611 – 2635 .
  • Jakob , K. and Ma , T. 2004 . Tick size, NYSE rule 118 and ex-dividend day stock price behavior . Journal of Financial Economics , 72 : 605 – 25 .
  • Jakob , K. and Ma , T. 2007 . Are ex-day dividend clientele effects dead? dividend yield versus dividend size . Journal of Empirical Finance , 14 : 718 – 35 .
  • Kalay , A. 1982 . The ex-dividend day behavior of stock prices: a re-examination of the clientele effect . Journal of Finance , 37 : 1059 – 70 .
  • Michaely , R. , Vila , J. and Wang , J. 1996 . A model of trading volume with tax-induced heterogeneous valuation and transaction costs . Journal of Financial Intermediation , 5 : 340 – 71 .
  • Rantapuska , E. 2008 . Ex-dividend day trading: who, how and why? evidence from the Finnish market . Journal of Financial Economics , 88 : 355 – 74 .

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