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Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership.

机译:投资者税收异质性和除息日交易量:股息收益率和机构所有权的影响。

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摘要

I demonstrate how the presence of institutional investors impacts the volume effect of dividend yield around ex-dividend days. Dividend yield proxies for the tax-disadvantaged portion of security return while the level of institutional ownership proxies for the degree of tax-induced investor heterogeneity. Cross-sectional tests support the tax-motivated trading hypotheses: (1) Ex-day excess trading volume increases in dividend yield and this positive relation is a concave quadratic function of the level of institutional ownership. (2) The volume effect of dividend yield peaks when the level of institutional ownership is at 32.18%—lower than 50%, implying that institutional investors may be more risk tolerant than individual investors. (3) Across tax regimes, some support is also found for the ex-day tax-motivated trading hypotheses. These results, combined with studies supporting dividend tax capitalization, suggest that tax matters in valuation and it impacts both stock price and investor trading patterns around ex-dividend days.
机译:我演示了机构投资者的存在如何影响除息日前后股息收益率的数量效应。证券收益中税收弱势部分的股息收益代理,而税收诱因的投资者异质程度的机构所有权水平代理。横断面检验支持以税收为动力的交易假设:(1)交易日过剩交易量增加了股息收益率,这种正相关关系是机构所有权水平的凹二次函数。 (2)当机构持股水平为32.18%时,股息收益率的数量效应达到峰值-低于50%,这意味着机构投资者可能比个人投资者更具风险承受能力。 (3)在整个税收制度中,也为以税收为动机的交易假设提供了一些支持。这些结果与支持股息税资本化的研究相结合,表明税收在估值中很重要,并且会影响除息日前后的股价和投资者交易模式。

著录项

  • 作者

    Li, Zhen.;

  • 作者单位

    The University of Arizona.;

  • 授予单位 The University of Arizona.;
  • 学科 Business Administration Accounting.
  • 学位 Ph.D.
  • 年度 2003
  • 页码 64 p.
  • 总页数 64
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 财务管理、经济核算 ;
  • 关键词

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