We analyze 987 ex-dividend events in Taiwan stock market between January 1992 and December 2006, and find that differential taxes really matter for the share prices and investors behaviors around the ex-dividend day. Ex-day price drop ratio increases with the investors' average preference for...

Using a unique data set of complete trade records, we find that large individual investors are successful at picking stocks. Large individual investors' correlated trades not only can move synchronous stock prices but also can positively predict future returns. More importantly, large individual...