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Articles 1 - 8 of 8
Full-Text Articles in Business
Dividend Drop Ratios And Tax Theory: An Intraday Analysis Under Different Tax And Price Quoting Regimes, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Dividend Drop Ratios And Tax Theory: An Intraday Analysis Under Different Tax And Price Quoting Regimes, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Thomas Henker
We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess the validity of competing explanations. Using intraday prices adjusted for non-trading, we provide a more accurate picture of price changes due to dividend payments than those produced in previous literature. Intraday estimates for dividend drop ratios are consistently higher than those calculated with end of day prices. Further findings indicate that stocks trading ex-dividend, on average, underperform the market over the following month. We attribute this phenomenon to dividend capture trading by tax advantaged and tax indifferent market participants.
Mutual Fund Characteristics, Managerial Attributes, And Fund Performance, Laurie Prather, William Bertin, Thomas Henker
Mutual Fund Characteristics, Managerial Attributes, And Fund Performance, Laurie Prather, William Bertin, Thomas Henker
Thomas Henker
This study provides a comprehensive examination of recent mutual fund performance by analyzing a large set of both mutual funds and fund attributes in an effort to link performance to fund-specific characteristics. The results indicate that the hypothesized relationships between performance and the explanatory variables are generally upheld. After taking into consideration general market conditions and fund investment objective, the characteristic variables that relate to fund popularity, growth, cost, and management also explain performance. Finally, after controlling for survivorship and benchmark error as well as fund-specific factors, the results refute the performance persistence phenomenon.
A New Look At Mutual Fund Performance, Laurie Prather, William Bertin, Thomas Henker
A New Look At Mutual Fund Performance, Laurie Prather, William Bertin, Thomas Henker
Thomas Henker
This study goes beyond the scope of the typical analysis of mutual fund performance by considering a broader set of fund-specific factors uniquely categorized in terms of their impact on returns. Also unique to this study is a detailed exposition of the linkages between fund characteristics and performance. Traditional regression techniques explore these relationships in an attempt to predict fund performance, while the sample of funds examined is screened for survivor bias in a non-conventional fashion. The results suggest that our unique categories of fund popularity, agility, and growth, as well as the standard cost and managerial factors are relevant …
Bid And Ask Spreads In Futures Markets, Thomas Henker
Bid And Ask Spreads In Futures Markets, Thomas Henker
Thomas Henker
This dissertation examines a number of empirical issues that arise in the trading of equity index futures and in research conducted using high frequency futures market data. Both essays benefit from a data set unique to futures market research. The dissertation consists of two essays. ^ The Bid and Ask spread of the FTSE-100 futures contract, presents evidence that bid-ask spreads of the FTSE-100 index futures market are wider than microstructure theory would predict because full point price quotes are systematically preferred over half point price quotes by market makers. The findings are even more pronounced for electronic trading in …
Re-Examining The Dividend Drop Ratios With Dividend Capture Trading, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Re-Examining The Dividend Drop Ratios With Dividend Capture Trading, Vyas Balasubramaniam, William Bertin, Thomas Henker, Laurie Prather
Thomas Henker
We calculate dividend drop ratios over periods with changing quotation and taxation frameworks to assess the veracity of competing explanations. We use intraday prices, adjusted for non-trading, to provide a more accurate picture of price changes due to dividend payments than those produced in previous literature. Intraday estimates for dividend drop ratios are consistently higher than those calculated with end of day prices. Further we find that stocks trading ex-dividend, on average, underperform the market by a large amount over the following month. We attribute this phenomenon to dividend capture trading by tax advantaged and tax indifferent market participants.
Are Retail Investors The Culprits? Evidence From Australian Individual Stock Price Bubbles, Julia Henker, Thomas Henker
Are Retail Investors The Culprits? Evidence From Australian Individual Stock Price Bubbles, Julia Henker, Thomas Henker
Thomas Henker
We address the question of whether the trading of retail investors causes stock price anomalies. Our intent is to study settings in which retail investors are most likely to have influence on market prices. Previous research suggests that retail investors have more influence in small capitalization stocks, and argues that retail investors are most likely to be irrational. Most theories of stock price anomalies hypothesize the presence of irrational traders. Consequently, we focus on stock price anomalies in primarily small capitalization stocks. Our data are from the Australian Stock Exchange Clearinghouse. The Australian stock market is characterized by a high …
Noise And Efficient Variance In The Indonesia Stock Exchange, Thomas Henker, Zaafri Husodo
Noise And Efficient Variance In The Indonesia Stock Exchange, Thomas Henker, Zaafri Husodo
Thomas Henker
We separate noise from information related variance for stocks traded on the Indonesian Stock Exchange with a realized variance estimator. We find that the average optimal sampling frequency to estimate the realized variance is 9 min and that market quality has improved after 2004. The positive relation between the standard deviation of the noise variance and the square root of the efficient realized variance implies that as uncertainty about asset values increases the risk of transacting with traders with superior information increases as well. Furthermore, variance ratio comparisons reveal that private information is a significant trading component on the IDX.
Spread Decomposition With Common Spread Components, Thomas Henker
Spread Decomposition With Common Spread Components, Thomas Henker
Thomas Henker
Purpose – This paper aims to incorporate a market wide buying and selling pressure cost component into a spread decomposition model as spread cost component.
Design/methodology/approach – The paper extends a commonly used trade indicator spread decomposition model to include a component common to all stocks of a specialist firm and a market wide component common to all stocks.
Findings – Strong evidence is found that specialists consider this common factor cost component when they set bid and ask quotes. Some specialist firms also take the next logical step and specifically manage their firm wide stock inventories. The common factor …