Liquidity provisions by individual investor trading prior to dividend announcements: Evidence from Taiwan

Zhijuan Chen, William T. Lin, Changfeng Ma, Shih Chuan Tsai

研究成果: 雜誌貢獻期刊論文同行評審

8 引文 斯高帕斯(Scopus)

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.

原文英語
頁(從 - 到)358-374
頁數17
期刊North American Journal of Economics and Finance
28
DOIs
出版狀態已發佈 - 2014 一月 1

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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