Liquidity Provisions by Individual Investor Trading Prior to Dividend Announcements: Evidence from Taiwan

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题名:	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
贡献者:	淡江大學財務金融學系
关键词:	Individual investors;Information;Net individual trading;Liquidity provisions;Dividend announcements
日期:	2014-04-01
上传时间:	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
显示于类别:	[財務金融學系暨研究所] 期刊論文

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