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Article: Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization

TitleDo Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization
Authors
Graham, John R.Michaely, RoniRoberts, Michael R.
Issue Date2003
Citation
Journal of Finance, 2003, v. 58, n. 6, p. 2611-2636 How to Cite?
DOI: http://dx.doi.org/10.1046/j.1540-6261.2003.00617.x
AbstractBy the end of January 2001, all NYSE stocks had converted their price quotations from 1/8s and 1/16s to decimals. This study examines the effect of this change in price quotations on ex-dividend day activity. We find that abnormal ex-dividend day returns increase in the 1/16 and decimal pricing eras, relative to the 1/8 era, which is inconsistent with microstructure explanations of ex-day price movements. We also find that abnormal returns increase in conjunction with a May 1997 reduction in the capital gains tax rate, as they should if relative taxation of dividends and capital gains affects ex-day pricing.
Persistent Identifierhttp://hdl.handle.net/10722/326033
ISSN
0022-1082
2023 Impact Factor: 7.6
2023 SCImago Journal Rankings: 19.139
ISI Accession Number ID
WOS:000186755300012

 

DC FieldValueLanguage
dc.contributor.authorGraham, John R.-
dc.contributor.authorMichaely, Roni-
dc.contributor.authorRoberts, Michael R.-
dc.date.accessioned2023-03-09T09:57:32Z-
dc.date.available2023-03-09T09:57:32Z-
dc.date.issued2003-
dc.identifier.citationJournal of Finance, 2003, v. 58, n. 6, p. 2611-2636-
dc.identifier.issn0022-1082-
dc.identifier.urihttp://hdl.handle.net/10722/326033-
dc.description.abstractBy the end of January 2001, all NYSE stocks had converted their price quotations from 1/8s and 1/16s to decimals. This study examines the effect of this change in price quotations on ex-dividend day activity. We find that abnormal ex-dividend day returns increase in the 1/16 and decimal pricing eras, relative to the 1/8 era, which is inconsistent with microstructure explanations of ex-day price movements. We also find that abnormal returns increase in conjunction with a May 1997 reduction in the capital gains tax rate, as they should if relative taxation of dividends and capital gains affects ex-day pricing.-
dc.languageeng-
dc.relation.ispartofJournal of Finance-
dc.titleDo Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1046/j.1540-6261.2003.00617.x-
dc.identifier.scopuseid_2-s2.0-0344100134-
dc.identifier.volume58-
dc.identifier.issue6-
dc.identifier.spage2611-
dc.identifier.epage2636-
dc.identifier.isiWOS:000186755300012-

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