Institutional trading around the ex-dividend day

被引：11
|
作者：
Ainsworth, Andrew [1 ]
Fong, Kingsley Y. L. [2 ]
Gallagher, David R. [2 ,3 ,4 ,5 ]
Partington, Graham [1 ]
机构：
[1] Univ Sydney, Finance Discipline, Sydney, NSW 2006, Australia
[2] UNSW Australia, UNSW Business Sch, Sydney, NSW, Australia
[3] Ctr Int Finance & Regulat, Sydney, NSW, Australia
[4] Macquarie Grad Sch Management, Sydney, NSW, Australia
[5] Capital Markets CRC Ltd, Sydney, NSW, Australia
来源：
AUSTRALIAN JOURNAL OF MANAGEMENT | 2016年 / 41卷 / 02期
基金：
澳大利亚研究理事会;
关键词：
Capital gains tax; dividends; ex-dividend day; institutional trading; tax credits; STOCK-PRICE BEHAVIOR; TAX-REFORM-ACT; PREFERENCES; ARBITRAGE; INVESTORS; CLIENTELES; HOLDINGS; RETURNS; CREDITS; IMPACT;
D O I：
10.1177/0312896214539967
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：299 / 323
页数：25
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