Re-examining the dividend drop ratios with dividend capture trading
Article comments
Interim status: Citation only.
Balasubramanian, V., Bertin, W., Henker, T., & Prather, L. (2010). Re-examining the dividend drop ratios with dividend capture trading. Paper presented at the 17th annual conference of the Multinational Finance Society (MFS), Barcelona, Spain.
Access the conference website
© Copyright Vyas Balasubramaniam, William Bertin, Thomas Henker & Laurie Prather, 2010.
Abstract
We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess the veracity of competing explanations. We use intraday prices, adjusted for non-trading, to provide a more accurate picture of price changes due to dividend payments than those produced in previous literature. Intraday estimates for dividend drop ratios are consistently higher than those calculated with end of day prices. Further we find that stocks trading ex-dividend, on average, underperform the market by a large amount over the following month. We attribute this phenomenon to dividend capture trading by tax advantaged and tax indifferent market participants.
Suggested Citation
Vyas Balasubramaniam, William Bertin, Thomas Henker, and Laurie Prather. "Re-examining the dividend drop ratios with dividend capture trading" 17th annual conference of the Multinational Finance Society (MFS).. Jun. 2010.
This document is currently not available here.