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Intraday Analysis of the Limit Order Bias on the Ex-Dividend Day of U.S. Common Stocks

Efthymiou, Vassilis A. - 2020

This study reexamines Dubofsky's (1992) limit order adjustment hypothesis via an intraday analysis of minute-by-minute trade and quote data recorded on the ex-dividend days of common stocks listed on the NYSE, AMEX, and NASDAQ. According to Dubofsky's (1992) model, the asymmetric adjustment of...

Persistent link: https://www.econbiz.de/10012856941