Taxes and microstructure constraints are often cited as possible explanations for why stock prices drop by less than the dividend on their ex-dates. Using a sample of real estate investment trusts, which have no significant correlation between dividend size and yield, we find that...

Taxes and microstructure constraints are often cited as possible explanations for why stock prices drop by less than the dividend on their ex-dates. Using a sample of REITs, which have no significant correlation between dividend size and yield, we find that close-to-open ex-dividend price drops...

We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced than for index options, primarily because...