@Article{mfj:736,
title={Testing for Multiple Types of Marginal Investor in Ex-Day Pricing},
author={Jan Bartholdy and Kate Brown},
journal={Multinational Finance Journal},
volume={8},
number={3/4},
pages={173--209},
year=2004,
publisher={Multinational Finance Society; Global Business Publications},
url={http://www.mfsociety.org/../modules/modDashboard/uploadFiles/journals/MJ~715~p16tna2b04143v1oa2166u189j1ihb4.pdf}
keywords={dividends; ex-day pricing; taxation},
abstract={The observed changes in share prices at the ex-dividend day have led researchers to look for a single marginal investor, either a long or a short term trader with different tax status, dominating all trades to explain the ex-day pricing in different markets. This paper provides a model which extends this research in three directions. One, it allows for the possibility that different types of traders may influence different stocks, thereby generating a separating equilibrium. Two, it identifies an additional marginal investor who has the option of being taxed as a short term or long term trader. Three, it explicitly models the fact that it can take a considerable time from when a dividend based trade is made until taxes have to be paid on that trade. A unique data set from New Zealand is used for the empirical analysis. Evidence of a separating equilibrium with at least two types of marginal investors is found.},
}