Investor tax heterogeneity and ex-dividend day trading volume

• 成果类型: Article
• 署名作者: Dhaliwal, D; Li, OZ
• 署名单位: University of Arizona; University of Auckland; University of Notre Dame
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00842.x
• 发表日期: 2006
• 页码: 463-490
• 关键词: stock-prices; information-content; valuation

摘要

We propose that ex-dividend day excess volume is motivated by tax heterogeneity among investors, and thus is increasing in investor tax heterogeneity. Institutional ownership is our measure of heterogeneity. Since investor heterogeneity is a concave function of institutional ownership, we hypothesize that ex-day volume is a concave function of institutional ownership. Cross-sectional tests support the tax-motivated trading hypothesis. Additional tests, using trade size and pension ownership as proxies for institutional trades, yield similar results. We contribute to the literature by considering the interaction between payout policy and ownership structure in explaining the cross-sectional variation in ex-day volume.