|
|
|
|
||||
|
||||
Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing Before and After DecimalizationJohn R. GrahamDuke University - Fuqua School of Business; National Bureau of Economic Research (NBER) Roni MichaelyCornell University - Samuel Curtis Johnson Graduate School of Management; Interdisciplinary Center (IDC) Michael R. RobertsThe Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER) January 15, 2003 Abstract: By the end of January 2001, all NYSE stocks had converted their price quotations from 1/8ths and 1/16ths 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 1/16th and decimal pricing eras, relative to the 1/8thera, which is inconsistent with microstructure explanations of the ex-day 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.
Number of Pages in PDF File: 45 Keywords: Ex-dividend, transaction costs, taxes, decimalization JEL Classification: H20, G35 working papers seriesDate posted: July 21, 2002Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo7 in 0.359 seconds
