Who Trades Around the Ex-Dividend Day? Evidence from NYSE Audit File Data

Financial Management, Vol. 27, No. 3, Autumn 1998

Posted: 28 Jan 1999

See all articles by Jennifer L. Koski

Jennifer L. Koski

University of Washington - Michael G. Foster School of Business

John T. Scruggs

Allianz Global Investors

Abstract

We analyze trading volume around ex-dividend days. We use NYSE audit file data to decompose total trading volume by trader type. These data permit us to directly test detailed hypotheses regarding the identity of traders around the ex-dividend day. We are able to distinguish between dividend-capture trading by taxable corporations and short-term trading by securities dealers. We find evidence of significant abnormal volume by securities dealers that is positively related to dividend yield and negatively related to transaction costs. We also document some abnormal trading volume consistent with corporate dividend-capture trading, but little evidence of tax-clientele trading.

JEL Classification: G12, G14

Suggested Citation

Koski, Jennifer Lynch and Scruggs, John T., Who Trades Around the Ex-Dividend Day? Evidence from NYSE Audit File Data. Financial Management, Vol. 27, No. 3, Autumn 1998. Available at SSRN: https://ssrn.com/abstract=143684

Jennifer Lynch Koski (Contact Author)

University of Washington - Michael G. Foster School of Business ( email )

Box 353226
Seattle, WA 98195-3226
United States
206-543-7975 (Phone)
206-685-9392 (Fax)

John T. Scruggs

Allianz Global Investors ( email )

555 Mission Street
Suite 1700
San Francisco, CA 94105
United States

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