Jakob, Keith; Ma, Tongshu - In: Journal of Financial Research 26 (2003) 1, pp. 65-75
In this article we test an alternative to the tax-based explanation for why prices decline on ex-dividend days by an amount less than the dividend. We examine whether there is order imbalance on cum- and ex-dividend days. We find that on ex-dividend days, there are more buys than sells in the...
