REITs,Decimalization, and Ex-dividend Stock Prices |
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Authors: | III" target="_blank">William G HardinIII Kartono Liano Gow-Cheng Huang Gregory L Nagel |
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Institution: | (1) Department of Finance and Real Estate, Florida International University, 11200, SW 8th Street, Miami, FL 33199, USA;(2) Department of Finance and Economics, Mississippi State University, Box 9580, Mississippi State, MS 39762-9580, USA;(3) Department of Accounting and Finance, Alabama State University, Box 271, Montgomery, AL 36104, USA |
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Abstract: | The ex-dividend pricing of real estate investment trust (REIT) stocks under fractional and decimal pricing regimes is investigated.
For REITs, with the move from discrete to decimal pricing, the price drop on the ex-dividend day approaches the dividend amount,
the ex-date abnormal return decreases, the spread-to-dividend ratio declines, abnormal trading volume increases, and the potential
erroneous appearance of a tax-clientele effect is diminished. Discreteness and other transaction costs are reduced with decimalization
implying that part of the persistence in the appearance of the tax-clientele effect when modeling ex-dividend stock pricing
might be generated by the interaction between transaction costs, dividend amount, and yield.
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Keywords: | REIT Decimalization Ex-dividend Tax-clientele Market microstructure |
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