Do price discreteness and transactions costs affect stock returns? Comparing ex-dividend pricing before and after decimalization

• 成果类型: Article
• 署名作者: Graham, JR; Michaely, R; Roberts, MR
• 署名单位: Duke University; Cornell University; Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1046/j.1540-6261.2003.00617.x
• 发表日期: 2003
• 页码: 2611-2635
• 关键词: DAY BEHAVIOR; arbitrage; volume; Heterogeneity

摘要

By the end of January 2001, all NYSE stocks had converted their price quotations from 1/8s and 1/16s to decimals. This study examines the effect of this change in price quotations on ex-dividend day activity. We find that abnormal ex-dividend day returns increase in the 1/16 and decimal pricing eras, relative to the 1/8 era, which is inconsistent with microstructure explanations of exday price movements. We also find that abnormal returns increase in conjunction with a May 1997 reduction in the capital gains tax rate, as they should if relative taxation of dividends and capital gains affects ex-day pricing.