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Ex-dividend price behavior of common stocks
Boyd, John H.; Jagannathan, Ravi - 1994
Persistent link: https://www.econbiz.de/10000893109
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An arbitrage model for the stock price adjustment in the dividend period
Borges, Maria Rosa (contributor) - 2007
Persistent link: https://www.econbiz.de/10003594281
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DRIPs and the Dividend Pay Date Effect
Berkman, Henk - 2015
larger for stocks with a higher dividend yield, greater DRIP participation, and greater limits to arbitrage. Over time … the following days. This dividend pay date effect has strengthened since the 1970s, and is consistent with the temporary … price pressure hypothesis. The pay date effect is concentrated among stocks with dividend reinvestment plans (DRIPs), and is …
Persistent link: https://www.econbiz.de/10013036302
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SETS, arbitrage activity, and stock price dynamics
Taylor, Nicholas; Dijk, Dick van; Franses, Philip Hans; … - 1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10011300557
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SETS, arbitrage activity, and stock price dynamics
Dijk, Dick van (contributor) - 1999
Persistent link: https://www.econbiz.de/10001472377
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SETS, arbitrage activity, and stock price dynamics
Taylor, Nick (contributor) - 1999
Persistent link: https://www.econbiz.de/10001364933
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Mispricing and Costly Arbitrage
Sadka, Ronnie - 2010
significantly reduce the potential arbitrage profits. Positive shocks to market-wide liquidity reduce arbitrage costs and accelerate …
Persistent link: https://www.econbiz.de/10013147019
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The effect of small intervention costs on the optimal extraction of dividends and renewable resources in a jump-diffusion model
Framstad, Nils Chr. - 2014 - This version November 27, 2014
A risk-neutral agent optimizes extraction of dividends or renewable natural resources modelled by a jump-diffusion stock process, where the optimal strategy is characterized as the minimal intervention required to keep the stock process inside a given region. The introduction of a small fixed...
Persistent link: https://www.econbiz.de/10010436722
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Exit options and dividend policy under liquidity constraints
Murto, Pauli; Terviö, Marko - 2009
Persistent link: https://www.econbiz.de/10003808902
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Early option exercise : never say never
Pedersen, Lasse Heje; Jensen, Mads Vestergaard - 2015
Persistent link: https://www.econbiz.de/10011441359