A Market Microstructure Explanation of Ex-Day Abnormal Returns
发现股票在除现金股息日和除股票股息日存在异常收益，并提出纽交所规则118和美交所规则132是导致这些异常收益的原因之一。
Several authors have previously determined that abnormal returns exist on ex-cash dividend days and ex-stock dividend days. In other words, stocks do not, on average, fall by the dividend amount, or fully adjust to stock distributions on ex-days. This paper proposes that NYSE Rule 118 and AMEX Rule 132 are a determinant of those ex-day abnormal returns.