Institutional Trading Around the Ex-Dividend Day

44 Pages Posted: 25 Aug 2008 Last revised: 1 Apr 2011

See all articles by Andrew Ainsworth

Andrew Ainsworth

University of Wollongong - School of Accounting, Economics & Finance; Financial Research Network (FIRN)

Kingsley Y. L. Fong

University of New South Wales - School of Banking and Finance; Financial Research Network (FIRN)

David R. Gallagher

Rozetta Institute

Graham Partington

University of Sydney - School of Business - Finance Discipline; Financial Research Network (FIRN)

Multiple version iconThere are 2 versions of this paper

Date Written: March 31, 2011

Abstract

WThis paper uses the trading records of institutional equity funds to examine their ex-dividend trading behavior. There are two classes of funds in the study, which differ in their tax-induced preferences for dividends. The funds engage in both short-term and long-term trading about the ex-dividend date. In aggregate, the funds make excess sales cum-dividend and excess purchases ex-dividend. The availability of imputation tax credits, changes in tax incentives and the fund’s tax status all affect ex-dividend day trading as does the level of dividend yield and transaction costs.

Keywords: Dividends, franking credits, capital gains tax, ex-dividend day, institutional trading

JEL Classification: G14, G23

Suggested Citation

Ainsworth, Andrew and Fong, Kingsley Y. L. and Gallagher, David R. and Partington, Graham, Institutional Trading Around the Ex-Dividend Day (March 31, 2011). 21st Australasian Finance and Banking Conference 2008 Paper. Available at SSRN: https://ssrn.com/abstract=1253282 or http://dx.doi.org/10.2139/ssrn.1253282

Andrew Ainsworth (Contact Author)

University of Wollongong - School of Accounting, Economics & Finance ( email )

Northfields Avenue
Wollongong, NSW 2522
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Kingsley Y. L. Fong

University of New South Wales - School of Banking and Finance ( email )

UNSW Business School
High St
Sydney, NSW 2052
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

David R. Gallagher

Rozetta Institute ( email )

Sydney

Graham Partington

University of Sydney - School of Business - Finance Discipline ( email )

Building H69
Sydney NSW, 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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