Institutional Trading Around the Ex-Dividend Day
44 Pages Posted: 25 Aug 2008 Last revised: 1 Apr 2011
There are 2 versions of this paper
Institutional Trading Around the Ex-Dividend Day
Institutional Trading Around the Ex-Dividend Day
Date Written: March 31, 2011
Abstract
WThis paper uses the trading records of institutional equity funds to examine their ex-dividend trading behavior. There are two classes of funds in the study, which differ in their tax-induced preferences for dividends. The funds engage in both short-term and long-term trading about the ex-dividend date. In aggregate, the funds make excess sales cum-dividend and excess purchases ex-dividend. The availability of imputation tax credits, changes in tax incentives and the fund’s tax status all affect ex-dividend day trading as does the level of dividend yield and transaction costs.
Keywords: Dividends, franking credits, capital gains tax, ex-dividend day, institutional trading
JEL Classification: G14, G23
Suggested Citation: Suggested Citation
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