Ex-dividend day trading: Who, how, and why? Evidence from the Finnish market

• 成果类型: Article
• 署名作者: Rantapuska, Elias
• 署名单位: Aalto University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.12.001
• 发表日期: 2008
• 页码: 355-374
• 关键词: EX-DIVIDEND DAY; tax arbitrage; Dividend clientele

摘要

This study examines the ex-dividend day trading behavior of all investors in the Finnish stock market. Consistent with dynamic dividend clientele theories, investors with a preference for dividend income buy shares cum-dividend and sell ex-dividend; the reverse is true for investors with the opposite preference. Investors also engage in overnight arbitrage, earning on average a 2% overnight return on their invested capital. Trades at the investor-level reveal that idiosyncratic risk is an important determinant in the choice of stock for short-term ex-day trading. Furthermore, transaction costs and dividend yield jointly determine whether the volume of short-term trading activity is nonzero. (C) 2008 Elsevier B.V. All rights reserved.