; ; ; "ActiveFedora::Aggregation::ListSource" . a , ; "Why Do Stock Prices Drop by Less Than the Value of the Dividend? Evidence From a Country Without Taxes"; ; "batchuser@example.com"; "Jagannathan, Ravi", "Murray, Frank"; "Federal Reserve Bank of Minneapolis"; "Market microstructure", "Asset pricing", "Bid-ask spread", "Dividends"; "G35 - Payout Policy", "G12 - Asset Pricing; Trading Volume; Bond Interest Rates"; "It is well documented that on average, stock prices drop by less than the value of the dividend on ex-dividend days. This has commonly been attributed to the effect of tax clienteles. We use data from the Hong Kong stock market where neither dividends nor capital gains are taxed. As in the U.S.A. the average stock price drop is less than the value of the dividend; specifically, in Hong Kong the average dividend was HK $0.12 and the average price drop was HK $0.06. We are able to account for this both theoretically and empirically through market microstructure based arguments."^^; "1997-03"; "2019-08-21T00:39:46.913525566+00:00"^^; "https://doi.org/10.21034/sr.229"; ; "https://creativecommons.org/licenses/by-nc/4.0/"; "Thu Nov 7 22:03:46 2019"; "https://creativecommons.org/licenses/by-nc/4.0/"; "Research Paper"; "365", "545"; "Staff report (Federal Reserve Bank of Minneapolis. Research Department)"; "229"; "Market microstructure", "Dividends", "Asset pricing", "Bid-ask spread"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Research Department"; "Published in: _Journal of Financial Economics_ (Vol. 47, No. 2, February 1998, pp. 161-188) https://doi.org/10.1016/S0304-405X(97)80053-0. "^^; ; "Publication" . ; .