The Ex-Dividend Behavior of Nonconvertible Preferred Stock Returns and Trading Volume
研究发现不可转换优先股在除息日平均有显著的正异常回报和交易量，但流动性不同的股票表现不同：低流动性股票由长期个人投资者定价，高流动性股票由短期投资者通过股利捕获策略定价。
On average, nonconvertible preferred stocks have significantly positive abnormal returns and trading volume on the ex-day. For the less liquid stocks, however, the abnormal returns are significantly positive, and abnormal trading volume is insignificantly different from zero. This evidence suggests that long-term individual investors set the ex-day prices of less liquid stocks. For the more liquid stocks, the ex-day abnormal returns are closer to zero, and there is significantly positive abnormal trading volume on the ex-day and the day before the ex-day. These results suggest that short-term investors set the ex-day prices of more liquid stocks through dividend capture strategies. Despite this evidence, some inconsistent empirical findings make the overall evidence on dividend capture somewhat mixed.