This study uses the trading records of institutional equity funds to examine their ex-dividend trading behaviour. We argue that trading is influenced by the tax incentives facing the fund, the characteristics of individual stocks and by changes in tax legislation. In aggregate, institutions...

A costly arbitrage model, developed for the Australian imputation tax system, shows that stocks paying dividends with a tax credit are likely targets for ex-dividend arbitrage. We show that order imbalance, based on the direct observation of buyer and seller initiated trades, is a key factor in...

WThis paper uses the trading records of institutional equity funds to examine their ex-dividend trading behavior. There are two classes of funds in the study, which differ in their tax-induced preferences for dividends. The funds engage in both short-term and long-term trading about the...

We analyse the determinants of Australian corporate credit default swap (CDS) spreads. In addition to structural determinants, consisting of equity returns, equity volatility and risk-free interest rates, we show that CDS spreads are impacted by the uncertainty of asset values as proxied by the...

Theoretical models of limit order books populated with liquidity traders suggest a link between order aggressiveness, spreads and the cost of waiting for order execution. We directly test these models using an experimental setting where waiting time is important for traders, namely the...