This study places Dubofsky’s (1992) “limit order adjustment hypothesis” under the microscope of an intraday analysis, which employs a minute-by-minute trade and quote data recorded during the ex-dividend days of common stocks listed on NYSE, AMEX and NASDAQ. Dufosky’s (1992) model...

We empirically test whether the disposition effect has an asymmetrical impact on the price adjustment on the ex-dividend day of common stocks listed in NYSE and AMEX during the 2001-2008 period. We find that stocks with accrued gains have a greater ex-day price drop ratio (PDR) than stocks with...

We empirically test whether the disposition effect, the inclination of investors to sell winning stocks more readily than losing stocks, has an asymmetrical impact on the price adjustment on the ex-dividend day. Using aggregate market data for a sample of ordinary taxable dividends of common...

This paper investigates the value consequences of stock splits in a market where institutional characteristics minimize the effects of price realignment and signaling. We find that despite these market conditions, stock splits by Greek firms produce positive price reaction around the...