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How The Australian Ban On Short Selling During The Gfc Affected Market Quality And Volitility, Uwe Helmes, Julia Henker, Thomas Henker
How The Australian Ban On Short Selling During The Gfc Affected Market Quality And Volitility, Uwe Helmes, Julia Henker, Thomas Henker
Thomas Henker
We examine the effects of the short selling ban, imposed by Australian regulators in the wake of the global financial crisis, on trading of financial stocks. Unlike other developed markets, where regulators imposed short-selling restrictions for brief periods of time at the height of the financial crisis, the ban on short selling of financial stocks on the Australian Stock Exchange lasted eight months, including both the tumultuous end of 2008 and the calmer period up to May 2009. Our control group consists of matched Canadian financial institutions which were unaffected by a short selling ban. We analyze the impact of …
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.