Journal article
Dividend Capture in NASDAQ Stocks
Journal of financial economics, v 28(1,2), pp 39-65
01 Nov 1990
Abstract
Previous research suggests that the ex-dividend-day returns of at least some stocks are affected by short-term traders. Empirical tests made more powerful by the availability of bid-ask spread data on a large sample of National Association of Securities Dealers Automated Quotes (NASDAQ) stocks traded from 1973 to 1985 show that ex-dividend-day returns are strongly correlated with bid-ask spreads. Further, the correlation increases with dividend yield when the sample is divided into dividend-yield quintiles. The correlation appears among both low- and high-priced stocks and in both small and large firms. These results do not appear to be attributable to any general correlation between abnormal returns and bid-ask spreads. For example, the correlation between abnormal returns and bid-ask spreads for a sample of non-ex-dividend days is not significantly different from zero. The results are consistent with the hypothesis that dividend-capture traders affect the ex-dividend-day returns of at least some stocks.
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Details
- Title
- Dividend Capture in NASDAQ Stocks
- Creators
- Jonathan Karpoff - University of WashingtonRalph Walkling - The Ohio State University
- Publication Details
- Journal of financial economics, v 28(1,2), pp 39-65
- Publisher
- Elsevier Sequoia S.A
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Finance
- Web of Science ID
- WOS:A1990FP46100003
- Scopus ID
- 2-s2.0-38249016426
- Other Identifier
- 991021881390204721
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance
- Economics