The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks

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 stocks listed in NYSE and AMEX during the 2001-2008 period, we employ the capital gains overhang proxy to measure accrued gains or losses for individual stocks. We find that stocks with accrued gains have a higher market adjusted price drop than stocks with accrued losses on the ex-dividend day. Moreover, there is a significantly positive relationship between the ex-day price drop and the capital gains overhang. Both results are attributed to the disposition effect since active (limited) selling by holders of winning (losing) stocks will most likely speed up (restrain) the downward price adjustment on the ex-dividend day. We also contribute to the ex-dividend day literature, insofar as we propose a new factor, namely, the past accrued gain or loss, to explain the time-series variation of the ex-day price drop ratio for a particular stock that can be a winner or a loser at different times. Our results remain robust to various ex-day price drop measures, panel data models adjusting for both stock and time correlations, and different investor holding period lengths assumed

Cross-Sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011

This study is an investigation of the factors affecting the average returns of stocks that were traded on the Athens Stock Exchange for the period July 2004 - June 2011. The methodological approach is similar to that applied by Fama and French (1992), in the first stage, stocks are grouped into portfolios with predefined criteria, and subsequently monthly cross sectional regressions are carried out, according to the Fama-MacBeth approach (1973). The main result of this study is that average stock returns in the ASE are not associated with the market beta (market risk) and there is not a strong relationship with any other risk factor for the stocks market value or book to market ratio

Intraday Analysis of the Limit Order Bias at the Ex- Dividend Day of U.S. Common Stocks by

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 concluded that the asymmetric adjustment of open limit orders for cash dividend payments under the NYSE and AMEX rules is sufficient to create abnormal returns on the ex-dividend day. Empirical evidence shows that the limit order bias incurred due to the asymmetric adjustment of open limit orders seems to dominate the overnight ex-day returns but at the same time, it is significantly corrected via active trading up until the close of the ex- dividend day. As a result, the significant association of the ex-day price drop discrepancy with the opening limit order bias eventually disappears before the ex-dividend day close. Finally, it is found that the reversal of the limit order bias is in fact quicker in stocks which are more liquid or listed on NASDAQ where strong competition among dealers is envisaged to drive stale quotes closer to the fair adjustment of the dividend. JEL classification: G14, G3

The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks

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 stocks listed in NYSE and AMEX during the 2001-2008 period, we employ the capital gains overhang proxy to measure accrued gains or losses for individual stocks. We find that stocks with accrued gains have a higher market adjusted price drop than stocks with accrued losses on the ex-dividend day. Moreover, there is a significantly positive relationship between the ex-day price drop and the capital gains overhang. Both results are attributed to the disposition effect since active (limited) selling by holders of winning (losing) stocks will most likely speed up (restrain) the downward price adjustment on the ex-dividend day. Our results remain robust to various ex-day price drop measures and different investor holding period lengths assumed.disposition effect; ex-dividend day; capital gains overhang

Firms' degree of internationalisation and the cross-section of stock returns: evidence from multinational listed companies in the U.K.

This paper proposes two main opposing channels through which firms’ degree of internationalisation affects stock returns. In particular, firms that operate internationally benefit from risk reduction via diversification channel and also encounter higher risk exposure due to various risk factors in international markets. Using a sample of 566 multinational publicly listed companies in the London Stock Exchange during 1999 and 2010, this paper empirically tests whether firms’ degree of internationalisation is a new asset pricing factor in addition to the standard risk factors such as beta, size, book-to-market, leverage, momentum, and product market competition. The results show that firms’ degree of internationalisation is positively and significantly related to the cross-section of stock returns in all Fama and MacBeth regressions, even after accounting for beta, size, book-to-market, leverage, and momentum. In addition, the effect of internationalisation on stock return becomes statistically insignificant after controlling for product market competition, indicating that the interaction term between competition and internationalisation plays a role in explaining stock returns. Overall, the empirical findings indicate that firms or industries with higher degree of internationalisation earn, on average, higher risk-adjusted returns. The results of this paper suggest that although multinational firms can benefit from cash flow diversification by going international, firms with higher degree of internationalisation are risky than firms with lower degree of internationalisation due to higher political, foreign exchange, and distress risks faced by multinational companies in international markets

Patterns of Surprise: The "Aleatory Object" in Psychoanalytic Ethnography and Cyclical Fandom

This article studies one media fan’s consumption patterns, arguing that media fandom has been restrictively defined in cultural studies to date as a matter of faithfulness to singular fan objects. Contra such definitions, the article addresses cyclical fandom, wherein the fan-consumer constantly moves from one fan object to another, experiencing intense affective relationships to a variety of texts. This case study employs psychoanalytic ethnography to analyze such a consumption pattern, where the “surprise” of new fandoms is repeatedly sought. Christopher Bollas’s psychoanalytic concept of the “aleatory object” is used to interpret self-narratives of cyclical fandom