Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
960478 | Journal of Financial Economics | 2008 | 20 Pages |
Abstract
This study examines the ex-dividend day trading behavior of all investors in the Finnish stock market. Consistent with dynamic dividend clientele theories, investors with a preference for dividend income buy shares cum-dividend and sell ex-dividend; the reverse is true for investors with the opposite preference. Investors also engage in overnight arbitrage, earning on average a 2% overnight return on their invested capital. Trades at the investor-level reveal that idiosyncratic risk is an important determinant in the choice of stock for short-term ex-day trading. Furthermore, transaction costs and dividend yield jointly determine whether the volume of short-term trading activity is nonzero.
Keywords
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Social Sciences and Humanities
Business, Management and Accounting
Accounting
Authors
Elias Rantapuska,