Where does ex‐dividend trading occur: An examination of trading venues around dividends
研究了股息除息日前后交易场所的碎片化现象，发现taker-maker和暗交易场所为股息捕获交易者提供了更有利的平台，并影响了除息价格变化和价格效率。
Abstract We examine the fragmentation of trading around the ex‐dividend date. We argue that the taker‐maker and dark trading venues provide potential dividend capture traders a more favorable platform than the maker‐taker venue(s) given the price improvement, lower queues, and lower net transaction costs. Our evidence indicates that taker‐maker (dark) venue market share decreases (increases) on cum‐dividend days but reverts to normal levels on the ex‐dividend day. Additionally, we find fragmented trading impacts the ex‐dividend price change and improves price efficiency. Finally, we find evidence that retail trades are associated with potential dividend‐capture trading.