We demonstrate analytically that cross-sectional variation in the effects of events, ie, in true
abnormal returns, necessarily produces event-induced variance increases, biasing popular …

We propose that ex‐dividend day excess volume is motivated by tax heterogeneity among
investors, and thus is increasing in investor tax heterogeneity. Institutional ownership is our …

Prior empirical evidence regarding the impact of dividend taxes on firm valuation is mixed.
This study avoids some of the complications encountered in previous empirical work by …

This study examines the ex-dividend day trading behavior of all investors in the Finnish
stock market. Consistent with dynamic dividend clientele theories, investors with a …

We use institutional trading data to examine whether skilled institutions exploit positive
abnormal ex‐dividend returns. Results show that institutions concentrate trading around …

Although dividend clientele have been studied over several decades, their existence
remains controversial. We study the interaction of dividends and taxes by exploiting a …

Portfolio performance evaluation is a major data envelopment analysis (DEA) application in
the finance field. Most proposed DEA approaches focus on single-period portfolio …

We examine short selling around dividend announcements and ex-dividend dates. Contrary
to our initial expectation, we do not find abnormally high short-selling activity prior to …

We examine the impact of the 2003 dividend tax cut, which removes the differential taxation
between dividends and capital gains for individual investors, on the ex-dividend day price …

We test the Elton and Gruber model of ex‐dividend stock pricing over a period spanning all
US tax law changes since 1926. Our results indicate that price drop ratios (ΔP/D) and ex …