Ex‐Dividend Profitability and Institutional Trading Skill
利用机构交易数据，研究发现有技能的机构能利用除息日的异常正回报获利，其股利捕获交易占机构买入交易的6%，却贡献了15%的总异常回报，且这种盈利与交易执行技能密切相关。
ABSTRACT We use institutional trading data to examine whether skilled institutions exploit positive abnormal ex‐dividend returns. Results show that institutions concentrate trading around certain ex‐dates, and earn higher profits around these events. Dividend capture trades represent 6% of all institutional buy trades but contribute 15% of overall abnormal returns. Institutional dividend capture trading is persistent. Institutional ex‐day profitability is also strongly cross‐sectionally related to trade execution skill. The relation between execution skill and profits disappears around placebo non‐ex‐days. Results suggest that skilled institutions target certain opportunities rather than benefiting uniformly over time. Furthermore, only skilled institutions can profit from dividend capture.