The Ex‐dividend Day Behaviour of REITs: Tax or Market Microstructure Effects
研究了美国REITs在三种最小报价单位制度下除息日股价行为，提出税收与市场微观结构效应相互作用的新理论，解释为何大报价单位时期税收效应难以被检测。
Abstract We examine the importance of the tax and microstructure theories in explaining the ex‐dividend day behaviour of US REIT stock prices in three tick size regimes − the 1/8 th , 1/16 th , and decimal eras. We present a new theory that shows how the tax and microstructure effects interact to produce the observed ex‐dividend day behaviour. Our theory also shows why in an era of a large tick size, as in the 1/8 th era, the tax effects fail to get detected and the observed ex‐dividend day behaviour could be misinterpreted as resulting solely from the microstructure effects.