Investor Tax Heterogeneity And Ex - Dividend Day Trading Volume  

Oleh:

Li, Oliver Zhen ; Dhaliwal, Dan

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 1 (Feb. 2006), page 463-490.
Topik: investor; studies; securities trading volume; taxation; hypothesis testing; dividends; regression analysis
Fulltext: p 463.pdf (312.83KB)

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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

We propose that ex - dividend day excess volume is motivated by tax heterogeneity among investors, and thus is increasing in investor tax heterogeneity. Institutional ownership is our measure of heterogeneity. Since investor heterogeneity is a concave function of institutional ownership, we hypothesize that ex - day volume is a concave function of institutional ownership. Cross - sectional tests support the tax - motivated trading hypothesis. Additional tests, using trade size and pension ownership as proxies for institutional trades, yield similar results. We contribute to the literature by considering the interaction between payout policy and ownership structure in explaining the cross - sectional variation in ex - day volume.

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