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- Title
Where does ex‐dividend trading occur: An examination of trading venues around dividends.
- Authors
Cox, Justin; Fuller, Kathleen P.; Van Ness, Robert
- Abstract
We examine the fragmentation of trading around the ex‐dividend date. We argue that the taker‐maker and dark trading venues provide potential dividend capture traders a more favorable platform than the maker‐taker venue(s) given the price improvement, lower queues, and lower net transaction costs. Our evidence indicates that taker‐maker (dark) venue market share decreases (increases) on cum‐dividend days but reverts to normal levels on the ex‐dividend day. Additionally, we find fragmented trading impacts the ex‐dividend price change and improves price efficiency. Finally, we find evidence that retail trades are associated with potential dividend‐capture trading.
- Subjects
DIVIDENDS; PRICES; TRANSACTION costs; MARKET share; RETAIL industry
- Publication
Financial Review, 2024, Vol 59, Issue 1, p31
- ISSN
0732-8516
- Publication type
Article
- DOI
10.1111/fire.12362