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- Title
Limit Order Adjustment Mechanisms and Ex-Dividend Day Stock Price Behavior.
- Authors
Jakob, Keith; Tongshu Ma
- Abstract
Unlike the NYSE, the Toronto Stock Exchange (TSX) does not adjust prices in the outstanding limit orders on ex-dividend days. We find that TSX ex-day stock price behavior differs from that on the NYSE in several key aspects. In each case, the TSX ex-day behavior is consistent with the lack of a limit order adjustment mechanism. Our findings confirm that market microstructure is an important factor that contributes to the observed Canadian ex-day price behavior. Our findings also resolve the puzzle of the relatively small ex-day price drop in Canada.
- Subjects
CANADA; STOCK exchanges; STOCK prices; EX-dividend; FINANCE
- Publication
Financial Management (Wiley-Blackwell), 2005, Vol 34, Issue 3, p89
- ISSN
0046-3892
- Publication type
Article
- DOI
10.1111/j.1755-053X.2005.tb00111.x