Trading Costs and Ex-Day Behavior: An Examination of Primes and Stocks
对比了26只股票及其衍生证券Primes的除息日行为，发现股票存在除息前交易活动而Primes没有，表明交易成本影响除息日价格行为。
The ex-dividend day behavior of 26 stocks and their derivative, dividend-oriented securities, the Americus Trust Primes is examined. >From the standpoint of cum-ex traders, the prime and the stock offer very similar benefits, but the trading costs for the primes are substantially higher. The results, suggest cum-ex activity in the stock but not in the prime. Specifically, the ex-day relative price drop is larger for stocks and while there is a visible increase in stock volume, there is hardly any unusual trading in the primes. These results are consistent with the propositions that: (i) the ex-day behavior of these securities is related to their trading costs, and (ii) cum-ex trading in the stocks makes their ex-day price drops larger (returns smaller) than they would otherwise be.