Who Trades around the Ex-Dividend Day? Evidence from NYSE Audit File Data
利用纽交所审计档案数据，按交易者类型分解除息日前后交易量，检验应税公司股利捕获交易与证券交易商短期交易的具体假设。
We analyze trading volume around ex-dividend days. We use NYSE audit file data to decompose total trading volume by trader type. These data permit us to directly test detailed hypotheses regarding the identity of traders around the ex-dividend day. We are able to distinguish between dividend-capture trading by taxable corporations and short-term trading by securities dealers. We find evidence of significant abnormal volume by securities dealers that is positively related to dividend yield and negatively related to transaction costs. We also document some abnormal trading volume consistent with corporate dividend-capture trading, but little evidence of tax-clientele trading.