Trading Clienteles, Tax Attributes, and Ex-Dividend Returns

42 Pages Posted: 21 Mar 2005

See all articles by Oliver Zhen Li

Oliver Zhen Li

National University of Singapore (NUS)

Date Written: March 2005


I examine whether institutions and individuals react to ex-dividend events and how their reactions impact ex-day excess return. I infer trader identities from trade size, based on the assumption that institutions initiate large trades while individuals initiate small trades. I find that while both increase their trading activities around the ex-days, institutions initiate more trades than individuals. Ex-day institutional and individual trading also impacts ex-day excess return, which decreases when excess trading volume by tax-favored institutions increases and increases when excess trading volume by tax-disfavored individuals increases. This result is consistent with differential taxation of dividends and capital gains influencing the ex-day pricing of dividends.

JEL Classification: G35, H24, G12

Suggested Citation

Li, Oliver Zhen, Trading Clienteles, Tax Attributes, and Ex-Dividend Returns (March 2005). Available at SSRN: or

Oliver Zhen Li (Contact Author)

National University of Singapore (NUS) ( email )

1E Kent Ridge Road
NUHS Tower Block Level 7
Singapore, 119228

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