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: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
語言中文
ISSN
期刊性質國外
收錄於SSCI;
產學合作
通訊作者
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
相關連結
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