Order Imbalance on Ex-Dividend Days
University of Montana - Department of Accounting and Finance
Forthcoming in Journal of Financial Research
In this article we test an alternative to the tax-based explanation for why prices decline on ex-dividend days by an amount less than the dividend. We examine whether there is order imbalance on cum- and ex-dividend days. We find that on ex-days, there are more buys than sells in the number of orders, but not in the number of shares ordered, and the imbalance in the number of orders is limited to small orders. We find that the difference between the dividend amount and the ex-day price drop is significantly related to the magnitude of the buy/sell order imbalance. We find no order imbalance on cum-days in either the number of orders or the number of shares ordered.
JEL Classification: G10Accepted Paper Series
Date posted: April 28, 2002
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