The Ex-dividend Day Behaviour of REITs: Tax or Market Microstructure Effects

摘要

We examine the importance of the tax and microstructure theories in explaining the ex-dividend day behaviour of US REIT stock prices in three tick size regimes - the 1/8th, 1/16th, and decimal eras. We present a new theory that shows how the tax and microstructure effects interact to produce the observed ex-dividend day behaviour. Our theory also shows why in an era of a large tick size, as in the 1/8th era, the tax effects fail to get detected and the observed ex-dividend day behaviour could be misinterpreted as resulting solely from the microstructure effects.