Date of this Version


Document Type

Conference Paper

Publication Details

Accepted Version.

Balasubramaniam, V., Bertin, W., Henker, T., & Prather, L. (2010). Dividend drop ratios and tax theory: An intraday analysis under different tax and price quoting regimes. Paper presented at the Financial Management Assocation (FMA) European conference program, Hamburg, Germany.

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2010 HERDC submission. FoR Code: 150200

© Copyright Vyas Balasubramaniam, William Bertin, Thomas Henker & Laurie Prather, 2010


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.



This document has been peer reviewed.


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