Ex dividend day stock price behavior: discreteness or tax-induced clienteles?

Article Abstract:

Discreteness plays a vital role in illustrating dynamics in ex dividend day stock price behavior. Utilization of a simple model of trading around the ex dividend date showed that the price-drop-to-dividend ratio is greatly influenced by discrete trading prices. The price-drop-to-dividend ratio generally increase with dividends but decreases between tick multiples. Ex day behavior can also be seen in taxable cash dividends and nontaxable cash dividends.

Economics, Research and Development in the Social Sciences and Humanities, Taxes NEC, Economic aspects, Dividends, Taxation, Stock price forecasting

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The capital gain lock-in effect and long-horizon return reversal

Article Abstract:

The paper offers an asset pricing model with a capital gain lock-in effect and explains why the results in capital gains created by high returns in previous periods are lower in subsequent periods.

Canada, Capital Gains Taxes, Statistical Data Included, Research, Capital gains tax, Equilibrium (Economics), Capital

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