An Examination of Ex-Dividend Day Stock Price Movements: The Case of Nontaxable Master Limited Partnership Distributions
研究业主有限合伙单位在除息日前后的价格和成交量行为，发现除息日前有显著正超额收益和成交量，除息日有显著负超额收益，表明除息日股票变动不单由投资者边际税率或公司交易行为决定。
This study examines the unit (stock) price and volume behavior of master limited partnerships (MLP) around the ex-dividend day. Since the dividends of MLPs are not taxable to the unitholder, tax based hypotheses predict no abnormal unit movements around the ex-day. Significant positive excess returns and volume are found before the ex-dividend day, and significant negative excess returns are found on the ex-dividend day. The findings which are not significantly impacted by the Tax Reform Act of 1986 suggest ex-day stock movements are not solely a function of investor marginal tax rates or corporate trading behavior.