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| Author: | Rantapuska, E. |
| Title: | Ex-dividend day trading: Who, how, and why? Evidence from the Finnish market |
| Journal: | Journal of Financial Economics
2008 : MAY, VOL. 88:2, p. 355-374 |
| Index terms: | stock markets investors trading dividends taxation arbitrage Nordic countries Finland |
| Language: | eng |
| Abstract: | This paper investigates the ex-dividend day trading (hereafter as: tr-g.) behaviour of all investors (here as: invts.) in the Finnish stock market. Consistent with dynamic dividend (as: dvdd.) clientele theories, invts. with a preference for dvdd. income buy shares cum-dividend and sell ex-dividend; the reverse is true for invts. with the opposite preference. Invts. also engage in overnight (as: o-nt.) arbitrage, earning on average a 2 percent o-nt. return on their invested capital. Investor-level trades reveal that idiosyncratic risk is an important determinant in the choice of stock for short-term ex-day tr-g. In addition, transaction costs and dvdd. yield jointly determine whether the volume of short-term tr-g. activity is non-zero. |
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