Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership

Persistent Link:
http://hdl.handle.net/10150/280293
Title:
Investor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownership
Author:
Li, Zhen
Issue Date:
2003
Publisher:
The University of Arizona.
Rights:
Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
Abstract:
I demonstrate how the presence of institutional investors impacts the volume effect of dividend yield around ex-dividend days. Dividend yield proxies for the tax-disadvantaged portion of security return while the level of institutional ownership proxies for the degree of tax-induced investor heterogeneity. Cross-sectional tests support the tax-motivated trading hypotheses: (1) Ex-day excess trading volume increases in dividend yield and this positive relation is a concave quadratic function of the level of institutional ownership. (2) The volume effect of dividend yield peaks when the level of institutional ownership is at 32.18%--lower than 50%, implying that institutional investors may be more risk tolerant than individual investors. (3) Across tax regimes, some support is also found for the ex-day tax-motivated trading hypotheses. These results, combined with studies supporting dividend tax capitalization, suggest that tax matters in valuation and it impacts both stock price and investor trading patterns around ex-dividend days.
Type:
text; Dissertation-Reproduction (electronic)
Keywords:
Business Administration, Accounting.
Degree Name:
Ph.D.
Degree Level:
doctoral
Degree Program:
Graduate College; Business Administration
Degree Grantor:
University of Arizona
Advisor:
Dhaliwal, Dan

Full metadata record

DC FieldValue Language
dc.language.isoen_USen_US
dc.titleInvestor tax heterogeneity and ex-dividend day trading volume: The effect of dividend yield and institutional ownershipen_US
dc.creatorLi, Zhenen_US
dc.contributor.authorLi, Zhenen_US
dc.date.issued2003en_US
dc.publisherThe University of Arizona.en_US
dc.rightsCopyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.en_US
dc.description.abstractI demonstrate how the presence of institutional investors impacts the volume effect of dividend yield around ex-dividend days. Dividend yield proxies for the tax-disadvantaged portion of security return while the level of institutional ownership proxies for the degree of tax-induced investor heterogeneity. Cross-sectional tests support the tax-motivated trading hypotheses: (1) Ex-day excess trading volume increases in dividend yield and this positive relation is a concave quadratic function of the level of institutional ownership. (2) The volume effect of dividend yield peaks when the level of institutional ownership is at 32.18%--lower than 50%, implying that institutional investors may be more risk tolerant than individual investors. (3) Across tax regimes, some support is also found for the ex-day tax-motivated trading hypotheses. These results, combined with studies supporting dividend tax capitalization, suggest that tax matters in valuation and it impacts both stock price and investor trading patterns around ex-dividend days.en_US
dc.typetexten_US
dc.typeDissertation-Reproduction (electronic)en_US
dc.subjectBusiness Administration, Accounting.en_US
thesis.degree.namePh.D.en_US
thesis.degree.leveldoctoralen_US
thesis.degree.disciplineGraduate Collegeen_US
thesis.degree.disciplineBusiness Administrationen_US
thesis.degree.grantorUniversity of Arizonaen_US
dc.contributor.advisorDhaliwal, Danen_US
dc.identifier.proquest3089968en_US
dc.identifier.bibrecord.b4442226xen_US
All Items in UA Campus Repository are protected by copyright, with all rights reserved, unless otherwise indicated.