Stock Market Behavior on Ex-Dividend Dates: The Case of Cum-Ex Transactions in Germany

The paper explores the effect of cum-ex trading on the stock market on ex-dividend days. A loophole in the German withholding tax system until 2011 enabled cum-ex traders to achieve the issuance of cash-equivalent withholding-tax certificates without previous tax payment. The paper discusses the implications for the capital market equilibrium and derives empirical predictions for stock market behavior. The results indicate a major impact of the loophole on the capital market and trading volumes

Exploiting the dividend month premium: evidence from Germany

Abstract Dividend payments are firm events on a recurring and predictable basis. High returns in the period between announcement-date and ex-dividend date are the main driver for the so-called dividend month premium, which are positive abnormal returns in months in which corporations are predicted to issue dividend payments. In our empirical analysis of the German stock market, we find a robust dividend month premium, which is particularly high for stocks with positive dividend surprise. Knowing the dates of dividend announcements and payments enable portfolio managers to exploit the dividend month premium. Also taking into account tracking error and transaction costs, we show that simple portfolio-enhancing strategies lead to highly significant abnormal returns

Optimistic fair transaction processing in mobile ad-hoc networks

Mobile ad-hoc networks (MANETs) are unstable. Link errors, which are considered as an exception in fixed-wired networks must be assumed to be the default case in MANETs. Hence designing fault tolerant systems efficiently offering transactional guarantees in these unstable environments is considerably more complex. The efficient support for such guarantees is essential for business applications, e.g. for the exchange of electronic goods. This class of applications demands for transactional properties such as money and goods atomicity. Within this technical report we present an architecture, which allows for fair and atomic transaction processing in MANETs, together with an associated application that enables exchange of electronic tokens

Emergent memory from tapping collisions in active granular matter

In an equilibrium thermal environment, random elastic collisions between background particles and a tracer establish the picture of Brownian motion fulfilling the celebrated Einstein relation between diffusivity and mobility. In nature, environments often comprise collections of autonomously moving objects that exhibit fascinating non-equilibrium phenomena and are nowadays termed active matter. We investigate experimentally the impact of an active background on a passive tracer using vibrationally excited active particles. They produce multiple correlated tapping collisions with the tracer, for which a persistent memory emerges in the dynamics. The system is described by a generalized active Einstein relation that constrains fluctuations, dissipation, and effective activity, by taking the emerging tracer memory into account. Since the resulting persistence can largely be tuned by the environmental density and motility, our findings can be useful to engineer properties of various active systems in biomedical applications, microfluidics, chemical engineering, or swarm robotics

Withholding-tax non-compliance: the case of cum-ex stock-market transactions

Abstract This paper explores withholding-tax non-compliance in the context of dividend taxation. It focuses on a specific type of stock-market transactions around ex-dividend dates, so-called “cum-ex” trades, which caused considerable revenue losses due to illegitimate tax refunds in Germany and other countries. We use a stylized model of the stock-market equilibrium to analyze the incentives of traders on the German stock market and find that cum-ex trades are only profitable for both buyer and seller in the presence of collusive tax fraud. Our empirical analysis of market data for publicly traded German stocks from 2009 to 2015 confirms that transaction numbers of stocks suitable for cum-ex trades show the expected increase shortly before ex-dividend dates in the period before the tax refunding was reformed. In line with the collusion hypothesis, effects on stock-market prices are not found

Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock and Corporate Bond Markets

This study examines spillover effects following Volkswagen’s admission of emissions cheating. We first estimate initial operational losses of 8.45% of Volkswagen’s equity market capitalization on the date before the announcement, reputational losses up to five times these losses, and significant negative shocks to its stocks and bonds. Analyzing spillover effects from this shock beyond the usually only measured losses in equity value, we find significant negative net spillover effects to European competitors and suppliers in both stock and bond markets. Studying the economic effects in more detail, we show that Volkswagen’s total losses of 27.4 billion euros in terms of changes in equity market values over the first five event days are almost entirely composed of abnormal losses. Furthermore, competitors (suppliers) overall suffered 18.3 (12.6) billion euros of abnormal losses during this time, with 60% (69%) of the firms exhibiting negative changes, especially European competitors and suppliers connected to Volkswagen. These figures are further increased by negative bond market value changes. Overall, our results strongly emphasize that neglecting debt holders losses can lead to an underestimation of such events

Characterization of leaf apoplastic peroxidases and metabolites in Vigna unguiculata in response to toxic manganese supply and silicon

Previous work suggested that the apoplastic phenol composition and its interaction with apoplastic class III peroxidases (PODs) are decisive in the development or avoidance of manganese (Mn) toxicity in cowpea (Vigna unguiculata L.). This study characterizes apoplastic PODs with particular emphasis on the activities of specific isoenzymes and their modulation by phenols in the Mn-sensitive cowpea cultivar TVu 91 as affected by Mn and silicon (Si) supply. Si reduced Mn-induced toxicity symptoms without affecting the Mn uptake. Blue Native-PAGE combined with Nano-LC-MS/MS allowed identification of a range of POD isoenzymes in the apoplastic washing fluid (AWF). In Si-treated plants Mn-mediated induction of POD activity was delayed. Four POD isoenzymes eluted from the BN gels catalysed both H2O2-consuming and H2O2-producing activity with pH optima at 6.5 and 5.5, respectively. Four phenols enhanced NADH-peroxidase activity of these isoenzymes in the presence of Mn2+ (p-coumaric=vanillic>>benzoic>ferulic acid). p-Coumaric acid-enhanced NADH-peroxidase activity was inhibited by ferulic acid (50%) and five other phenols (50–90%). An independent component analysis (ICA) of the total and apoplastic GC-MS-based metabolome profile showed that Mn, Si supply, and the AWF fraction (AWFH2O, AWFNaCl) significantly changed the metabolite composition. Extracting non-polar metabolites from the AWF allowed the identification of phenols. Predominantly NADH-peroxidase activity-inhibiting ferulic acid appeared to be down-regulated in Mn-sensitive (+Mn, –Si) and up-regulated in Mn-tolerant (+Si) leaf tissue. The results presented here support the previously hypothesized role of apoplastic NADH-peroxidase and its activity-modulating phenols in Mn toxicity and Si-enhanced Mn tolerance

Genomic basis of a social polymorphism in a halictid bee

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