Tax‐Induced Dividend Capturing
研究了机构和个人在除息日前后如何交易股票，发现机构比个人更倾向于为税收目的捕获股息，尤其在股息率高的股票中，且机构买入量显著更大。
Abstract: I examine how institutions and individuals trade shares around ex‐dividend days. I predict that institutions are more likely than individuals to capture dividends for tax purposes by buying shares of a stock before it goes ex‐dividend. I infer the directions of trades and the identities of traders using trade and quote data. I find that both institutions and individuals increase their net buying activities on the last cum‐dividend days, especially in high dividend yield stocks; and that institutions buy significantly more shares than individuals. There is no excess buying or selling of shares on the ex‐dividend days. Further analysis suggests that dividend capturing activities are likely heavily driven by corporations. Finally, cum‐ and ex‐day investor trading intensity, especially that from institutions, impacts the ex‐day pricing of dividend in the predicted direction. These results suggest that institutions trade around ex‐dividend days consistent with their tax preference.