The Market Value of UK Dividends From Shares With Differing Entitlements

Abstract:   This paper determines the market value of dividends in the UK during periods before and after 1997. Previous studies, which use the ex‐dividend day method, tend to provide noisy and potentially biased measures of dividend value. We estimate the value of dividends from the prices of shares that are identical except for their dividend entitlements, and are traded concurrently (within the same hour). We argue that our estimates of dividend value are the cleanest yet available for the UK. Our evidence suggests that ex‐dividend day estimates are biased downwards, but that this bias may be mitigated by the use of robust regression. Dividend values are heterogeneous and are not explained by the tax‐clientele hypothesis.     

Why Do Stock Prices Drop by Less Than the Amount of the Dividend? Evidence from a Unique Environment

Abstract:

This paper investigates the effect of a lack of an automated limit order adjustment mechanism on ex-dividend day stock price behavior in a unique environment in which there are no taxes on dividends and capital gains. It finds that the overnight drop in the ask price is smaller than the overnight drop in the bid price. In addition, the study finds that average price drops are smaller than the dividend amount for all dividend sizes. I also find no evidence of a sawtooth-shaped relationship between the dividend amount and the ex-day price drop. These results are generally consistent with the lack of an automated limit order adjustment mechanism.     

Structural changes,bid–ask spread composition and tick size in inter-bank futures trading

This paper studies a period containing three major structural changes, which constitute a natural experiment in the NYSE.Euronext-LIFFE European short-term interest rate (STIR) futures market. These changes comprise (1) a 50% reduction in minimum tick size for the most heavily traded contract, (2) European Monetary Union and (3) the transition from open outcry to electronic trading. We analyse a number of microstructure features of the four largest European interest rate futures contracts throughout this period. In particular, we focus on bid–ask spread composition using a recent model which is appropriate for this market structure. Our analysis identifies the tick size as the largest bid–ask spread component in almost every instance, which suggests that participants in this STIR future market might benefit from a reduction in minimum tick sizes.     

An Analysis of Transactions Data for the Stock Exchange of Singapore: Patterns, Absolute Price Change, Trade Size and Number of Transactions

The availability of the transactions data of the Stock Exchange of Singapore allows us to examine intraday patterns and the relation among absolute price change, trade size and number of transactions. The presence of a trading halt in the mid-day results in two crude U-shaped return patterns but, contrary to Brock and Kleidon's (1992) model, it does not cause volume to be unusually high right before or after the halt. We find a positive relationship between absolute price changes and the number of transactions for both the active and inactive stocks. This supports the findings of Jones, Kaul and Lipson (1994) that these relationships also hold at the intraday level and in a market with different market architecture.     

Cross‐border information transfers: Evidence from profit warnings issued by European firms

This paper reports evidence on cross‐border accounting information transfers associated with profit warning announcements. Using a sample of firms from 29 European countries, we find that negative earnings surprises disclosed by firms in one country affect investors’ perceptions of comparable non‐announcing firms in other countries. The form and magnitude of cross‐border effects is consistent with domestic transfers. Tests explaining variation in cross‐border information transfers provide some (albeit rather limited) evidence that effects vary according to a range of firm‐, industryand country‐level characteristics.     

Investor behaviour in response to Australia’s capital gains tax

We calibrate the effect of Australia’s Capital Gains Tax (CGT) on share prices and market activity. Based on a large sample drawn from all listed Australian companies for the years 1994–2007, we find significant tax‐loss selling (TLS) of shares that lost value over the financial year, which is reflected in unusually high trading volume and more sell orders in June and a rebound in July. There is some evidence that small mining stocks are particular targets for TLS. Interestingly, the 1999 CGT reforms, which introduced concessions for long‐term capital gains, did not reduce the incidence of TLS.