The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange

Michaely, Roni; Murgia, Maurizio

doi:10.1093/rfs/8.2.369

Cited by 89 publications

(61 citation statements)

References 29 publications

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“…We also find that the PDR is an increasing (decreasing) function of dividend yield (risk). The result is consistent with the findings in Michaely and Murgia (1995) and Zhang et al (2008), and thereby providing support for our Hypotheses 2 and 3.…”

Section: Market Capitalization) 13supporting

confidence: 91%

“…More importantly, we find a positive firm-level association between the PDR and the average tax preference of all investors for dividends, even after control for other factors. In related studies, Michaely and Murgia (1995) examine the association on the market level, and Graham and Kumar (2006) find that the association is significant only for small firms. Our measure for average tax preference of all investors for dividends in a specific firm enables us to explore the association at the firm level.…”

Section: Market Capitalization) 13mentioning

confidence: 99%

“…In a related study, Michaely and Murgia (1995) examine the effect of differential taxes on the ex-day return and volume by looking at the Italian stock market, which has different dividend taxes on two classes of stocks. To explore the association, they calculate the market average tax preference of investors every year using the actual proportional holdings of individuals, corporations, and mutual funds in the universe of Italian market.…”

Section: Introductionmentioning

confidence: 99%

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Ex-dividend prices and investor trades: Evidence from Taiwan

Chen

Chow

Shiu

2013

Pacific-Basin Finance Journal

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Based upon an examination of 987 ex-dividend events that took place on the Taiwan Stock Exchange between January 1992 and December 2006, we find that differential taxes are an important factor in terms of their effects on share prices and the behavior of investors around the ex-dividend day. Ex-day price drop ratio increases with the average investor's preference for dividend relative to capital gains. Excess volume around the ex-dividend day is positively correlated with the degree of tax heterogeneity and the gains from dividend-capturing activities, and is negatively associated with arbitrage risk and transaction costs. We also find that wealthy investors sell shares cum-dividend, subsequently reversing to buy shares on the ex-dividend day, whereas less wealthy investors, proprietary traders and corporate shareholders trade in the opposite direction.Overall, our results provide support for the dynamic dividend clientele hypothesis. JEL classification: G35

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Section: Market Capitalization) 13supporting

confidence: 91%

Section: Market Capitalization) 13mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Ex-dividend prices and investor trades: Evidence from Taiwan

Chen

Chow

Shiu

2013

Pacific-Basin Finance Journal

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“…Michaely and Murgia (1993) Analyzing the effect of the 1986 TRA, Michaely (1991) '^Note that because of the continuum assumption, the idiosyncratic shocks do not affect the equilibrium prices (see, for instance, Hellwig (1980) or Admati (1985)). …”

Section: Equihbrium Expected Premiummentioning

confidence: 99%

Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day

Michaely¹,

Vila²

1995

The Journal of Financial and Quantitative Analysis

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152

127

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“…1 See Elton and Gruber (1970), Michaely and Murgia (1995), Green and Rydqvist (1999), Bell and Jenkinson (2002), Milonas et al (2006), Graham et al (2003), Elton et al (2005) and Dhalival and Li (2006). 2 See Kalay (1982), Lakonishok and Vermaelen (1986), Heath and Jarrow (1988), Kaproff andWalking (1988, 1990), Grammatikos (1989), Boyd and Jagannathan (1994) and Michaely andVila (1995, 1996).…”

Section: Introductionmentioning

confidence: 99%