Short selling around dividend announcements and ex-dividend days

How dividend announcements affect stock prices

Ex-Dividend Day Returns when Dividend and Capital Gains are Taxed at the Same Rate

Due to the overwhelming international evidence that stock prices drop by less than the dividend paid on ex-dividend days, the ex-dividend day anomaly is considered a stylized fact. Two main approaches have emerged to explain this empirical regularity: the tax-clientele hypothesis and the microstructure of financial markets. Although the most widely accepted explanation for this fact relies on t...

Dividend Announcements under Asymmetric Information: An Empirical Study

Previous empirical studies have documented that equity prices react to announcements of unexpected dividend changes. The most promising hypothesis forwarded as an explanation of this phenomenon is the dividend signalling hypothesis. Building on a foundation of dividend signalling models, this study employs an expanded set of explanatory variables to explain excess returns documented around divi...

Tax Heterogeneity and Trading Volume around the Ex-dividend Day: Estonian Evidence

This paper examines the trading pattern around the ex-dividend day in the Estonian stock market between 2000 and 2006. An analysis of the Estonian income tax law confirmed that despite its simplicity there exists differential treatment of capital gains and dividends as well as tax heterogeneity among investors. An empirical analysis of the trading data showed a statistically significant abnorma...

Ex-Dividend Prices and Investor Trades: Evidence from Taiwan

Based upon an examination of 987 ex-dividend events that took place on the Taiwan Stock Exchange between January 1992 and December 2006, we find that differential taxes are an important factor in terms of their effects on share prices and the behavior of investors around the ex-dividend day. Ex-day price drop ratio increases with the average investor’s preference for dividend relative to capita...