The ex-dividend day stock price behavior in the Chinese stock market

Milonas, Nikolaos T., Travlos, Nickolaos G., Xiao, Jason Zezhong ORCID: https://orcid.org/0000-0003-0703-6447 and Tan, Cunkai 2006. The ex-dividend day stock price behavior in the Chinese stock market. Pacific-Basin Finance Journal 14 (2) , pp. 155-174. 10.1016/j.pacfin.2005.06.004

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Abstract

This paper analyzes the ex-dividend day stock price behavior in the Chinese stock market. This market allows to examine the impact of tax effects while keeping any microstructure factors constant. The findings from non-taxable stocks show that their price, on the ex-dividend day, falls by an amount that is not statistically different from the dividend. For the taxable sample, stock prices of small dividend yield stocks fall proportionally to the dividend paid. For the large dividend yield stocks, the price adjustment depends on the effective tax rate on dividend income. The overall findings are consistent with the tax hypothesis.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HF Commerce H Social Sciences > HG Finance H Social Sciences > HJ Public Finance
Uncontrolled Keywords:	Dividends; Ex-dividend day; Dividend puzzle; Chinese stock market
Publisher:	Elsevier
ISSN:	0927-538X
Last Modified:	21 Oct 2022 09:52
URI:	https://orca.cardiff.ac.uk/id/eprint/38143

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