In this article we test an alternative to the tax-based explanation for why prices decline on ex-dividend days by an amount less than the dividend. We examine whether there is order imbalance on cum- and ex-dividend days. We find that on ex-dividend days, there are more buys than sells in the...

Because they are scaled by price, the ability of size (i.e., the market capitalization of a firm) and the book-to-market equity ratio to determine expected returns may, according to Berk (1995), reflect only a simultaneity bias. The two-stage least squares approach is used to control for this...