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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
This study investigates the informational effect of stock liquidity on dividend payouts. Using a sam- ple of Polish … listed companies during 2000 - 2012, I do not find a relation between stock liquidi- ty and dividend payouts. This result is … find that the relation between stock liquidity and dividend payouts is more pronounced when the information environment is …
Persistent link: https://www.econbiz.de/10011865505
I study the causal effects of personal investment taxes on stock demand, stock returns, and the dividend policy of …-market of the London Stock Exchange, to be held in a capital gains and dividend tax-exempt investment account for the first time …
Persistent link: https://www.econbiz.de/10013243333
This paper focuses on Chinese institutional trading and its relation with stock returns. We use the data of institutional ownership of Topview from Shanghai Stock Exchange to get daily order flow of dealers and mutual funds. We first document that their daily order flow is persistent in the...
Persistent link: https://www.econbiz.de/10013059978
of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We … define the modified dividend–price ratio (mdp), as the long run trend deviation between d and p. Using S&P 500 data for the … correlation with the risk free return component, and can discern if a low dividend state coincides with a low yield state …
Persistent link: https://www.econbiz.de/10012905483
-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend–price ratio for such … changes resolves several issues with respect to the predictability of stock market returns: The adjusted dividend-price ratio …
Persistent link: https://www.econbiz.de/10013065653
stock return volatilities, and without a stable cash dividend policy, stock return volatilities may unrelated to the …
Persistent link: https://www.econbiz.de/10013113475
We document an asset-pricing anomaly whereby companies have positive abnormal returns in months when a dividend is … predicted. Abnormal returns in predicted dividend months are high relative to other companies, and relative to dividend …-paying companies in months without a predicted dividend, making risk-based explanations unlikely. The anomaly is as large as the value …
Persistent link: https://www.econbiz.de/10013067397
This paper examines investors' reactions to dividend reductions or omissions conditional on past earnings and dividend … reaction for firms with long patterns of past earnings and dividend payouts is significantly more negative than for firms with …. First, consistent with DeAngelo, DeAngelo, and Skinner (1992), a loss following a long stream of earnings and dividend …
Persistent link: https://www.econbiz.de/10013139380
This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices … drop less than the dividend amount on the ex-day; this market inefficiency is generally attributed to the tax … statistically significant in the determination of the ex-dividend day price anomaly, indicating that trading restrictions can …
Persistent link: https://www.econbiz.de/10012926559