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| Author: | Felixson, K. Liljeblom, E. |
| Title: | Evidence of ex-dividend trading by investor tax category |
| Journal: | European Journal of Finance
2008 : JAN/FEB, VOL. 14:1-2, p. 1-21 |
| Index terms: | Nordic countries Finland stock exchanges trading taxation investors dividends |
| Freeterms: | foreign owners |
| Language: | eng |
| Abstract: | This paper examines the identity of the ex-dividend date (henceforth as: ex-d-d.) traders using the Finnish unique database of Finnish Central Securities Depository (FCSD) recording the trades of all investors (here as: invr./invrs.) on the market. There is found evidence of two invr. groups trading around the ex-d-d.: domestic non-financial invrs. doing dividend capturing arbitrage and foreign invrs. together with domestic financial institutions mainly doing the opposite. Significant deviations from neutral buy probabilities for these invr. groups. around the ex-d-d. are reported etc. |
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