Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership
| dc.contributor.advisor | Dhaliwal, Dan | en_US |
| dc.contributor.author | Li, Zhen | |
| dc.creator | Li, Zhen | en_US |
| dc.date.accessioned | 2013-04-11T08:58:05Z | |
| dc.date.available | 2013-04-11T08:58:05Z | |
| dc.date.issued | 2003 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10150/280293 | |
| dc.description.abstract | 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. | |
| dc.language.iso | en_US | en_US |
| dc.publisher | The University of Arizona. | en_US |
| dc.rights | Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author. | en_US |
| dc.subject | Business Administration, Accounting. | en_US |
| dc.title | Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership | en_US |
| dc.type | text | en_US |
| dc.type | Dissertation-Reproduction (electronic) | en_US |
| thesis.degree.grantor | University of Arizona | en_US |
| thesis.degree.level | doctoral | en_US |
| dc.identifier.proquest | 3089968 | en_US |
| thesis.degree.discipline | Graduate College | en_US |
| thesis.degree.discipline | Business Administration | en_US |
| thesis.degree.name | Ph.D. | en_US |
| dc.identifier.bibrecord | .b4442226x | en_US |
| refterms.dateFOA | 2018-08-27T22:13:04Z | |
| html.description.abstract | 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. |
