期刊論文
| 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 | en |
| ISSN | 1879-0860 |
| 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 | GBR |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/96071 ) |