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초록
영어
We propose a new explanation for the abnormal return on ex dates. The ex date is a high-publicity event that attracts attention of small investors and moves stock prices, even when there is no tax and no price discreteness. We test this "attention hypothesis" by using a sample of stock dividend distributions in Taiwan. We find that small investors are significant buyers on ex dates, and their purchases are higher for high-attention stocks. The ex-date returns are also higher for the same kinds of stocks. Our attention hypothesis imposes nonlinear restrictions on coefficients across regressions, and we cannot reject them.
목차
Abstract
1. Introduction
2. Sample
3. Empirical results
3.1. Media coverage
3.2. Small investors’ behavior
3.3. Other investors’ behavior
3.4. Ex-date return
3.5. Connections between ex-date returns and order imbalances
4. Robustness check
4.1. The 25-year sample
4.2. Alternative hypotheses
4.3. Time-series relation
5. Conclusion
References
Table
Figure
1. Introduction
2. Sample
3. Empirical results
3.1. Media coverage
3.2. Small investors’ behavior
3.3. Other investors’ behavior
3.4. Ex-date return
3.5. Connections between ex-date returns and order imbalances
4. Robustness check
4.1. The 25-year sample
4.2. Alternative hypotheses
4.3. Time-series relation
5. Conclusion
References
Table
Figure
저자정보
참고문헌
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