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Stock-market behavior on ex-dates : new insights from German stocks with tax-free dividend

Kreidl, Felix - In: International Journal of Financial Studies : open … 8 (2020) 3/58, pp. 1-21

We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax …-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our … empirical results indicate that ex-date prices decline, on average, by the amount of the dividend. We do not find a significant …

Persistent link: https://www.econbiz.de/10012291925

Payout Policy Tax Clienteles, Ex-Dividend Day Stock Prices and Trading Behavior in Germany : The Case of the 2001 Tax Reform

Haesner, Christian - 2012

classical system. Theory suggests that both price drop ratios and trading volume decrease following the reform. We document a … signi cant reduction in the valuation of net dividends - in particular for high dividend yield stocks - and weakening payout … policy tax clienteles. Ex-dividend day returns are likely to be driven by short-term traders. Though the reform removed …

Persistent link: https://www.econbiz.de/10013114888

Stock-Market Behavior on Ex-Dates : New Insights from German Stocks with Tax-Free Dividend

Kreidl, Felix - 2020

Persistent link: https://www.econbiz.de/10012842206

Item non-response and inequality measurement : evidence from the German earnings distribution

Biewen, Martin - In: Allgemeines statistisches Archiv : AStA ; journal of … 85 (2001) 4, pp. 409-425

Persistent link: https://www.econbiz.de/10001627140

Item non-response and inequality measurement : evidence from the German earnings distribution

Biewen, Martin - 1999

Persistent link: https://www.econbiz.de/10013429590

Testing monotonicity of pricing Kernels

Golubev, Yuri (contributor); Härdle, Wolfgang (contributor) - 2008

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical economics. Agents prefer a fixed profit over uncertain...

Persistent link: https://www.econbiz.de/10003635940

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

Persistent link: https://www.econbiz.de/10003636008

Recursive portfolio selection with decision trees

Andriyashin, Anton (contributor); … - 2008

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10003636039

Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?

Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10003727414

Inference for systems of stochastic differential equations from discretely sampled data : a numerical maximum likelihood approach

Lux, Thomas - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

Persistent link: https://www.econbiz.de/10009570666

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