Tick size, NYSE rule 118, and ex-dividend day stock price behavior

• 成果类型: Article
• 署名作者: Jakob, K; Ma, TS
• 署名单位: Utah System of Higher Education; University of Utah; University of Montana System; University of Montana
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00189-2
• 发表日期: 2004
• 页码: 605-625
• 关键词: ex-dividend day price drop; TICK SIZE; NYSE rule 118

摘要

Bali and Hite (1998) and Dubofsky (1992) propose models in which market microstructure effects play a role in the ex-dividend day price drop anomaly. Bali and Hite suggest that the anomaly is caused solely by price discreteness, while Dubofsky suggests that NYSE Rule 118 is also involved. We test these models by examining cum- to ex-day price drops during the one-eighth, one-sixteenth, and decimal tick size regimes. While the evidence is qualitatively consistent with Dubofsky's predictions, neither model is satisfactory in a quantitative sense. One of our main empirical findings is that no significant decline was evident in the magnitude of the ex-day anomaly after the tick size reduction. (C) 2003 Elsevier B.V. All rights reserved.