@article{0ae5530cb3244bcc8d1d445c8106735d,
title = "Liquidity provisions by individual investor trading prior to dividend announcements: Evidence from Taiwan",
abstract = "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.",
keywords = "Dividend announcements, G10, G14, G15, G35, Individual investors, Information, Liquidity provisions, Net individual trading",
author = "Zhijuan Chen and Lin, {William T.} and Changfeng Ma and Tsai, {Shih Chuan}",
note = "Funding Information: Zhijuan Chen and Changfeng Ma would like to thank the Ministry of Education in China Project of Humanities and Social Sciences (grant # 11YJCZH018 and 11YJC790133 ), as well as the Provincial Science Foundation of Zhejiang (grant # LQ12G01005 ) for their generous financial support. William T. Lin appreciates the financial support of the Hengyi Fund . Shih-Chuan Tsai would like to acknowledge the financial support from the National Science Council of Taiwan (grant # NSC100-2410-H-003-008 ). We thank Huai-Chun Lo for helpful comments at National Taiwan Normal University. ",
year = "2014",
month = apr,
doi = "10.1016/j.najef.2014.03.006",
language = "English",
volume = "28",
pages = "358--374",
journal = "North American Journal of Economics and Finance",
issn = "1062-9408",
publisher = "Elsevier Inc.",
}