教師資料查詢 | 類別: 期刊論文 | 教師: 林蒼祥 Lin William T. (瀏覽個人網頁)

標題:Liquidity Provisions by Individual Investor Trading Prior to Dividend Announcements: Evidence from Taiwan
學年102
學期2
出版(發表)日期2014/04/01
作品名稱Liquidity Provisions by Individual Investor Trading Prior to Dividend Announcements: Evidence from Taiwan
作品名稱(其他語言)
著者Chen, Zhi-juan; Lin, William T.; Ma, Chang-feng; Tsai, Shih-Chuan
單位淡江大學財務金融學系
出版者Elsevier BV * North-Holland
著錄名稱、卷期、頁數North American Journal of Economics and Finance 28, pp.358-374
摘要This paper investigates the role of liquidity provisions played by individual investors prior to dividend announcements in Taiwan. We first document a positive relationship between aggregate individual trading before dividend announcements and abnormal stock returns in the one month after the events. We find that this positive relationship varies with liquidity. We then decompose the abnormal returns following the event into information and liquidity provision components. The information component is not significant at all, but the liquidity component is positively significant, which shows that it is individual investors’ provisions of liquidity to institutional investors prior to dividend announcements that drives the positive relationship between pre-event individual trading and post-event returns.
關鍵字Individual investors;Information;Net individual trading;Liquidity provisions;Dividend announcements
語言英文
ISSN1879-0860
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別英國
公開徵稿
出版型式,電子版,紙本
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