Trading Activities Around Ex-Dividend Days: Evidence from the Taiwan Stock Market
2016 ◽
Vol 19
(01)
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pp. 1650005
Keyword(s):
We investigate buy–sell imbalances (BSIs) around ex-dividend days on the Taiwan Stock Exchange (TWSE) and find that trading activities are not entirely correlated with investor tax status. We find that margin traders and short sellers engage in arbitrage by selling more stocks for those with high abnormal returns cum- and ex-dividend, respectively. Tax-neutral dealers engage in overnight trading while tax-disadvantaged foreigners refrain from selling stocks cum-dividend.
2015 ◽
Vol 4
(4)
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pp. 52-61
Keyword(s):
2009 ◽
Vol 12
(04)
◽
pp. 655-674
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2007 ◽
Vol 10
(01)
◽
pp. 51-61
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Keyword(s):
2009 ◽
Vol 23
(22)
◽
pp. 4713-4726
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Keyword(s):
2001 ◽
Vol 04
(02)
◽
pp. 109-126
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Keyword(s):
Keyword(s):