Earticle

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

키워드

저자

• Shing-yang Hu [ Department of Finance, National Taiwan University ]
• Yun-lan Tseng [ Department of Accounting, National Ping Tung Institute of Commerce 51 Min Sheng E. Road, Pingtung, Taiwan ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330