Who Wants to Trade Around Ex-Dividend Days?
利用台湾证券交易所数据，研究不同类型投资者在除息日前后交易行为的差异，发现小投资者偏好低价股，而税负中性的机构扮演短期套利者角色。
We examine order flows around ex‐dividend dates on the Taiwan Stock Exchange. By using Taiwan's data, we can examine the heterogeneity of investors' behavior around ex‐dividend dates to test different hypotheses. We find that for both taxable and nontaxable samples, small investors sell before the ex date and buy from the ex date, suggesting that small investors prefer low‐priced stocks. We find weaker evidence that tax‐disadvantaged foreign and large domestic investors avoid participating in taxable dividends. We find strong evidence that tax‐ neutral institutions play the role of short‐term arbitrageurs around ex‐dividend dates.