Ex dividend day stock price behavior: discreteness or tax-induced clienteles?
论证股价受最小报价单位限制而股利连续，导致除息日价格跌幅小于股利且呈锯齿形，即使无税收效应也会造成税收客户群的假象，对研究股利政策与市场效率的学者有参考价值。
Since prices are constrained to discrete tick multiples while dividends are essentially continuous, ex day price changes will not equal dividends. We argue that the expected price drop is strictly less than the dividend but within one tick of the dividend. The price-drop-to-dividend ratio will (i) be less than one, (ii) increase with dividends generally, and (iii) decline between tick multiples, giving a sawtooth pattern in the data. Since dividends and dividend yields are highly correlated, discreteness will give the impression of tax-induced dividend clienteles even if there are none. Taxable cash dividends and nontaxable stock dividends exhibit similar ex day behavior.