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...

PPurpose – 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,...

Taxes and microstructure constraints are often cited as possible explanations for why stock prices drop by less than the dividend on their ex-dates. Using a sample of real estate investment trusts, which have no significant correlation between dividend size and yield, we find that...

"We test the Elton and Gruber model of ex-dividend stock pricing over a period spanning all US tax law changes since 1926. Our results indicate that price drop ratios (ΔP/D) and ex-day returns are related to dividend and capital gains tax rates in the theorized manner. Consistent with tax...

This paper provides new evidence that tax clienteles exist and that they influence ex-dividend stock price behavior. We test the tax model of ex-day pricing over a continuous sample period spanning all U.S. tax law changes since 1926. Our results indicate that actual ex-dividend price drop...

Taxes and microstructure constraints are often cited as possible explanations for why stock prices drop by less than the dividend on their ex-dates. Using a sample of REITs, which have no significant correlation between dividend size and yield, we find that close-to-open ex-dividend price drops...

In this study we examine the performance of banks headquartered in Hollywood and banks headquartered in Silicon Valley in the period - first quarter 2008 until second quarter 2012, which includes the period of the Great Recession, December 2007 to June 2009. We find that during the financial...