Trading volume around ex-dividend days

摘要

We tested how ex-day trading volume is impacted by the reduction in capital gains tax rate to 20% (May 1997) and the move to trading in 6.250 price increments (June 1997). We found excess trading volume around the ex-days in the pre- and post-event periods for both high- and low-yield groups. The abnormal volume falls significantly after the move to 6.250 for high yields indicating lower liquidity but offers little support for tax clienteles hypothesis.