Do individual investors demand or provide liquidity? New evidence from dividend announcements

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/117713

jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/117713

题名:	Do individual investors demand or provide liquidity? New evidence from dividend announcements
作者:	Chen, Zhi juan;Lin, William T.;Ma, Chang feng
关键词:	Liquidity;Dividend announcements;Individual investors
日期:	2019-10
上传时间:	2019-10-30 12:11:38 (UTC+8)
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.
關聯:	Pacific-Basin Finance Journal 57, p.101179
DOI:	10.1016/j.pacfin.2019.101179
显示于类别:	[財務金融學系暨研究所] 期刊論文

文件中的档案:

档案	描述	大小	格式	浏览次数
Do individual investors demand or provide liquidityNew evidence from dividend announcements.pdf		283Kb	Adobe PDF	360	检视/开启
index.html		0Kb	HTML	182	检视/开启

在機構典藏中所有的数据项都受到原著作权保护.

TAIR相关文章