Research on The Effect of Ex-right Heavily Traded Stock
Autor: | Deng-Ke Wu, 吳登科 |
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Rok vydání: | 2004 |
Druh dokumentu: | 學位論文 ; thesis |
Popis: | 92 In Taiwan’s security market, many investors focus on the abnormal return around the ex-right day. Our research is to study whether the performance of ex-right stock is better than market performance in the ex-right date, whether ex-right stock is heavily traded stock around the ex-right day, and whether there are another reasons to explain abnormal return. Our study period is from 1999 to 2003, and our study sample includes 1412 observations. The empirical results are as follow: 1. There is significant positive return around the ex-right day. It shows that the effect of ex-right heavily traded stock exists. 2. Because of the behavior of arbitrager, the abnormal return reduce gradually. 3. Parts of the abnormal return are from the compensations of risk that investor’s stock dividends will be frozen for two month. Besides, the correlation between the compensations of risk and stock dividends is positive. The result is the same as our expection. |
Databáze: | Networked Digital Library of Theses & Dissertations |
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