Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price Behavior
研究发现，多伦多证券交易所（TSX）不调整除息日未成交限价单的价格，导致其除息日股价行为与纽约证券交易所（NYSE）显著不同，证实市场微观结构是影响加拿大除息日股价行为的重要因素，并解释了加拿大除息日股价跌幅较小的谜团。
Unlike the NYSE, the Toronto Stock Exchange (TSX) does not adjust prices in the outstanding limit orders on ex-dividend days. We find that TSX ex-day stock price behavior differs from that on the NYSE in several key aspects. In each case, the TSX ex-day behavior is consistent with the lack of a limit order adjustment mechanism. Our findings confirm that market microstructure is an important factor that contributes to the observed Canadian ex-day price behavior. Our findings also resolve the puzzle of the relatively small ex-day price drop in Canada.