Testing for Multiple Types of Marginal Investor in Ex-Day Pricing

Jan Bartholdy and Kate Brown
Additional contact information
Kate Brown: University of Otago, New Zealand

Multinational Finance Journal, 2004, vol. 8, issue 3-4, 173-209

Abstract: The observed changes in share prices at the ex-dividend day have led researchers to look for a single marginal investor, either a long or a short term trader with different tax status, dominating all trades to explain the ex-day pricing in different markets. This paper provides a model which extends this research in three directions. One, it allows for the possibility that different types of traders may influence different stocks, thereby generating a separating equilibrium. Two, it identifies an additional marginal investor who has the option of being taxed as a short term or long term trader. Three, it explicitly models the fact that it can take a considerable time from when a dividend based trade is made until taxes have to be paid on that trade. A unique data set from New Zealand is used for the empirical analysis. Evidence of a separating equilibrium with at least two types of marginal investors is found.

Keywords: dividends; ex-day pricing; taxation (search for similar items in EconPapers)
JEL-codes: G10 G35 (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.mfsociety.org/modules/modDashboard/uplo ... oa2166u189j1ihb4.pdf
http://www.mfsociety.org/modules/modDashboard/uplo ... ogleScholar/736.html

Related works:
Working Paper: Testing for Multiple Types of Marginal Investor in Ex-day Pricing (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:8:y:2004:i:3-4:p:173-209

Access Statistics for this article

Multinational Finance Journal is currently edited by Panayiotis C. Andreou

More articles in Multinational Finance Journal from Multinational Finance Journal Contact information at EDIRC.
Bibliographic data for series maintained by Theodossiou Panayiotis ().