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Investor tax heterogeneity and ex-di...

Li, Zhen.

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Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership./
作者:	Li, Zhen.
面頁冊數:	64 p.
附註:	Source: Dissertation Abstracts International, Volume: 64-05, Section: A, page: 1740.
Contained By:	Dissertation Abstracts International64-05A.
標題:	Business Administration, Accounting. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3089968

Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership.
Li, Zhen.

Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership. - 64 p.

Source: Dissertation Abstracts International, Volume: 64-05, Section: A, page: 1740.

Thesis (Ph.D.)--The University of Arizona, 2003.

I demonstrate how the presence of institutional investors impacts the volume effect of dividend yield around ex-dividend days. Dividend yield proxies for the tax-disadvantaged portion of security return while the level of institutional ownership proxies for the degree of tax-induced investor heterogeneity. Cross-sectional tests support the tax-motivated trading hypotheses: (1) Ex-day excess trading volume increases in dividend yield and this positive relation is a concave quadratic function of the level of institutional ownership. (2) The volume effect of dividend yield peaks when the level of institutional ownership is at 32.18%---lower than 50%, implying that institutional investors may be more risk tolerant than individual investors. (3) Across tax regimes, some support is also found for the ex-day tax-motivated trading hypotheses. These results, combined with studies supporting dividend tax capitalization, suggest that tax matters in valuation and it impacts both stock price and investor trading patterns around ex-dividend days.Subjects--Topical Terms:

1020666
Business Administration, Accounting.

Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership.
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245 1 0 $a Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership.
300 $a 64 p.
500 $a Source: Dissertation Abstracts International, Volume: 64-05, Section: A, page: 1740.
500 $a Director: Dan Dhaliwal.
502 $a Thesis (Ph.D.)--The University of Arizona, 2003.
520 $a I demonstrate how the presence of institutional investors impacts the volume effect of dividend yield around ex-dividend days. Dividend yield proxies for the tax-disadvantaged portion of security return while the level of institutional ownership proxies for the degree of tax-induced investor heterogeneity. Cross-sectional tests support the tax-motivated trading hypotheses: (1) Ex-day excess trading volume increases in dividend yield and this positive relation is a concave quadratic function of the level of institutional ownership. (2) The volume effect of dividend yield peaks when the level of institutional ownership is at 32.18%---lower than 50%, implying that institutional investors may be more risk tolerant than individual investors. (3) Across tax regimes, some support is also found for the ex-day tax-motivated trading hypotheses. These results, combined with studies supporting dividend tax capitalization, suggest that tax matters in valuation and it impacts both stock price and investor trading patterns around ex-dividend days.
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650 4 $a Business Administration, Accounting. $3 1020666
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