The Impact of Market Structure on Ex‐Dividend Day Stock Price Behavior
研究了市场结构对除息日股价异常的影响，发现纳斯达克的价格跌幅比显著低于纽交所，且公司从纳斯达克转至纽交所后该比率上升，表明市场结构是关键因素。
Abstract We explore the impact of market structure on the ex‐day price anomaly. Measuring the price‐drop ratio (PDR) as the ratio of the price change on the ex‐day to the dividend amount, we find that the average NASDAQ PDR is significantly less than one and significantly less than the New York Stock Exchange (NYSE) PDR. We then investigate a subset of firms that voluntary switch from NASDAQ to the NYSE and find that the PDR significantly increases after the switch, suggesting that market structure affects PDRs. We also create a matched sample and find that the NASDAQ PDR converges toward its matched NYSE counterpart, particularly after the introduction of SuperMontage. Our evidence is consistent with significant NASDAQ market structure changes reducing execution cost differences between the two exchanges and, in turn, reducing the PDR difference. Overall, our results highlight the important role market structure can play in understanding anomalies.