Institutional trading around the ex-dividend day-Reference-Cited by-同舟云学术

Institutional trading around the ex-dividend day

Published:2015-01-06 Issue:2 Volume:41 Page:299-323
ISSN:0312-8962
Container-title:Australian Journal of Management
language:en
Short-container-title:Australian Journal of Management

Author:

Ainsworth Andrew¹,Fong Kingsley YL²,Gallagher David R³,Partington Graham¹

Affiliation:

1. Finance Discipline, The University of Sydney, Sydney, NSW, Australia

2. UNSW Business School, UNSW Australia, Sydney, NSW, Australia

3. Centre for International Finance and Regulation, Sydney, NSW, Australia; UNSW Business School, UNSW Australia, Sydney, NSW, Australia; Macquarie Graduate School of Management, Sydney, NSW, Australia; Capital Markets CRC Limited, Sydney, NSW, Australia

Abstract

This study uses the trading records of institutional equity funds to examine their ex-dividend trading behaviour. We argue that trading is influenced by the tax incentives facing the fund, the characteristics of individual stocks and by changes in tax legislation. In aggregate, institutions trade to avoid the dividend and franking credit. Changes in tax incentives and the fund’s tax status also affect ex-dividend day trading, with unit trusts dominating the dividend avoidance trades. The results indicate that taxes, transactions costs and the cum-dividend price run-up influence the trading of institutional investors around the ex-dividend day.

Publisher

SAGE Publications

Subject

General Business, Management and Accounting

Link

http://journals.sagepub.com/doi/pdf/10.1177/0312896214539967

Reference41 articles.

1. Taxes, Price Pressure and Order Imbalance around the Ex-Dividend Day

2. Market Arbitrage of Cash Dividends and Franking Credits*

3. New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor

4. Bellamy D, Gray S (2006) Using stock price changes to estimate the value of dividend franking credits. Working paper, University of Queensland, Brisbane.

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