Intraday analysis of the limit order bias on the ex-dividend day of U.S. common stocks

Author:

Efthymiou Vassilis A.,Episcopos Athanasios,Leledakis George N.ORCID,Pyrgiotakis Emmanouil G.

Funder

Athens University of Economics and Business

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. Dividend drop ratios and tax theory: An intraday analysis under different tax and price quoting regimes;Balasubramaniam;Academy of Taiwan Business Management Review,2011

2. Ex-dividend day stock price behavior: Discreteness or tax-induced clienteles?;Bali;Journal of Financial Economics,1998

3. Periodic market closure and trading volume: A model of intraday bids and asks;Brock;Journal of Economic Dynamics and Control,1992

4. Market structure and the intraday pattern of bid-ask spreads for NASDAQ securities;Chan;Journal of Business,1995

5. Market microstructure and the ex-date return;Conrad;The Journal of Finance,1994

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