Do Price Discreteness And Transactions Costs Affect Stock Returns ? Comparing Ex - Dividend Pricing Before And After Decimalization  

Oleh:

Graham, John R. ; Michaely, Roni ; Roberts, Michael R.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 6 (2003), page 2611-2636.
Topik: stock returns; studies; rates of return; stock exchanges; stock prices; capital gains; dividends
Fulltext: p 2611.pdf (206.13KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

By the end of january 2001, all NYSE stocks had converted their price quotations form 1/8 s and 1/16s to decimals. This study examines the effect of this change in price quotations on ex - dividend day activity. We find that abnormal ex - dividend day returns increase in the 1/16 and decimal pricing eras, relative to the 1/8 era, which is inconsistent with icrostructure explanations of ex - day price movements. We also find that abnormal returns increasein conjunction with a may 1997 reduction in the capital gains tax rate, as they should if relative taxation of dividends and capital gains affects ex - day pricing.

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