Ex-dividend day stock price behavior supports discreteness and tax clientele effects. The effects are still found after the Tax Reform Act of 1986. Results reflect an effective tax advantage for capital gains taxes payable at realization, versus dividend taxes due quarterly. Evidence also...

Contrary to predictions, previous studies of bid-ask spread estimators based on serial covariance in returns document surprisingly high proportions of positive serial covariances and therefore negative spread estimates. These findings may be due to the effects of time-variation in expected...