The Ex–Dividend Pricing of REITs
研究房地产投资信托基金除息日股价行为，发现最小报价单位限制造成了看似税收驱动的客户效应，而实际上并不存在。
Past studies have shown that ex–dividend stock prices are not fully reflective of dividend payments. A tax–induced clientele effect and micromarket limitations in stock pricing have been used to explain this pricing anomaly. This study focuses on the ex–dividend behavior of real estate investment trusts (REITs). Due to a low correlation between dividend size and dividend yield, REITs permit a cleaner examination of a tax–induced clientele effect. The results indicate that tick constraints in pricing ex–dividend stocks create the appearance of a tax–induced clientele effect in REITs when none should exist.