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Applied Economics Letters Volume 19, 2012 - Issue 6
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Original Articles

Further evidence from ex-dividend days

Rakesh Bali Risk Return Consulting, 10 Ferncliff Road, Scarsdale, NY, 10583, USACorrespondence[email protected]
&
Jack C. Francis Department of Economics and Finance, Zicklin School of Business, Baruch College, City University of New York, One Bernard Baruch Way, New York, NY, 10010, USA
Pages 537-540 | Published online: 28 Jun 2011

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 Francis , J. C. forthcoming . Trading volume around ex-dividend days . Applied Economics Letters ,
  • 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 .
  • 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 – 35 .
  • 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 .
  • Naranjo , A. , Nimalendran , M. and Ryngaert , M. 2000 . Time variation of ex-dividend day stock returns and corporate dividend capture: a reexamination . Journal of Finance , 55 : 2357 – 72 .
  • Rantapuska , E. 2008 . Ex-dividend day trading: Who, how and why?: evidence from the Finnish market . Journal of Financial Economics , 88 : 355 – 74 .
  • Whitworth , J. and Rao , R. 2010 . Do tax law changes influence ex-dividend stock price behavior? Evidence from 1926 to 2005 . Financial Management , 39 : 419 – 45 .

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