Ex-Dividend Profitability and Institutional Trading Skill

• 成果类型: Article
• 署名作者: Henry, Tyler R.; Koski, Jennifer L.
• 署名单位: University System of Ohio; Miami University; University of Washington; University of Washington Seattle
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12472
• 发表日期: 2017
• 页码: 461-493
• 关键词: transactions costs; stock returns; valuation; volume; prices; Heterogeneity; performance; persistence; investors; BEHAVIOR

摘要

We use institutional trading data to examine whether skilled institutions exploit positive abnormal ex-dividend returns. Results show that institutions concentrate trading around certain ex-dates, and earn higher profits around these events. Dividend capture trades represent 6% of all institutional buy trades but contribute 15% of overall abnormal returns. Institutional dividend capture trading is persistent. Institutional ex-day profitability is also strongly cross-sectionally related to trade execution skill. The relation between execution skill and profits disappears around placebo non-ex-days. Results suggest that skilled institutions target certain opportunities rather than benefiting uniformly over time. Furthermore, only skilled institutions can profit from dividend capture.