Seasonality in ex dividend day returns

Rakesh Bali

Applied Economics Letters, 2003, vol. 10, issue 14, 929-932

Abstract: It is documented that for both high- and low-yield stocks, ex day raw returns are systematically higher in January than for the other months of the year. Although such patterns are not predicted by any known tax-clienteles model, they are consistent with the price discreteness and spread models in the spirit of Bali and Hite (Journal of Financial Economics, 47, 127-59, 1998) and Bali (Journal of Economics and Finance, 27, 190-210, 2003). For high-yield stocks in January, the returns are about one-fourth those for low-yield stocks, and for the remaining months they are significantly negative. The rents that arbitrageurs earn for supplying liquidity are higher for low-yield stocks and are significantly higher in January.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:apeclt:v:10:y:2003:i:14:p:929-932

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/1350485032000159022

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().