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    題名: Liquidity Provisions by Individual Investor Trading Prior to Dividend Announcements: Evidence from Taiwan
    作者: Chen, Zhi-juan;Lin, William T.;Ma, Chang-feng;Tsai, Shih-Chuan
    貢獻者: 淡江大學財務金融學系
    關鍵詞: Individual investors;Information;Net individual trading;Liquidity provisions;Dividend announcements
    日期: 2014-04-01
    上傳時間: 2014-02-18 20:24:51 (UTC+8)
    出版者: Elsevier BV * North-Holland
    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.
    關聯: North American Journal of Economics and Finance 28, pp.358-374
    DOI: 10.1016/j.najef.2014.03.006
    顯示於類別:[財務金融學系暨研究所] 期刊論文

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