We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced than for index options, primarily because...

Purpose – The purpose of this paper is to show how recent capital gains affect ex‐dividend stock pricing. Traditional models assume that investors are motivated to sell a stock before its ex‐date to avoid paying higher taxes on dividends. However, if a stock has appreciated significantly,...

Investors with taxable portfolios sometimes delay the sale of appreciated stock to defer capital gains taxes. While this strategy does help to reduce taxes, it can cause the portfolio to become more concentrated over time, leading to higher overall volatility and lower long-term returns. This...

This study empirically investigates the dynamics of motivations behind China's outward foreign direct investment (FDI). Based on a dataset of 75 host countries of China's outward FDI, we test the relative importance of outward FDI motives in different time periods. We account for endogeneity...