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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/96071

    Title: Liquidity Provisions by Individual Investor Trading Prior to Dividend Announcements: Evidence from Taiwan
    Authors: Chen, Zhi-juan;Lin, William T.;Ma, Chang-feng;Tsai, Shih-Chuan
    Contributors: 淡江大學財務金融學系
    Keywords: Individual investors;Information;Net individual trading;Liquidity provisions;Dividend announcements
    Date: 2014-04-01
    Issue Date: 2014-02-18 20:24:51 (UTC+8)
    Publisher: Elsevier BV * North-Holland
    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.
    Relation: North American Journal of Economics and Finance 28, pp.358-374
    DOI: 10.1016/j.najef.2014.03.006
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

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