| Do individual investors demand or provide liquidity? New evidence from dividend announcements | |
|---|---|
| 學年 | 108 |
| 學期 | 1 |
| 出版（發表）日期 | 2019-10-01 |
| 作品名稱 | Do individual investors demand or provide liquidity? New evidence from dividend announcements |
| 作品名稱（其他語言） | |
| 著者 | Zhi juan Chen; William T. Lin; Chang feng Ma |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Pacific-Basin Finance Journal 57, p.101179 |
| 摘要 | This paper provides new evidence related to whether individual investors demand or provide liquidity. While net trading is often used in the literature, it is improper in our research since buying and selling by individual investors increase by almost the same amount around dividend announcements. By differentiating buying and selling, we find that individual buyers demand liquidity while individual sellers provide liquidity around dividend announcements. Specifically, the buying volume of individual investors before and during dividend announcements negatively predicts future returns, while it is positively associated with past and contemporaneous returns. The selling volume of individual investors shows a similar relationship with returns. |
| 關鍵字 | Liquidity;Dividend announcements;Individual investors |
| 語言 | zh_TW |
| ISSN | |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | TWN |
| 公開徵稿 | |
| 出版型式 | ,電子版 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/117713 ) |
| SDGS | 優質教育 |
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