“汉青论坛”第五期：Attention effect on the ex date: Evidence from Taiwan
【本期主题】Attention effect on the ex date: Evidence from Taiwan
We propose a new explanation for the abnormal return on ex dates. The ex date is a high-publicity event that can attract attention of small investors and moves stock prices even when there is no tax and no price discreteness. We test this attention hypothesis using a sample of stock dividends distributed by listed companies in Taiwan.
We find that small investors are significant buyers on ex dates, and their purchases are higher for high-attention stocks, that is, stocks that have high distribution rates or high investor sentiment. The media coverage and the ex-date return are also higher for the same kinds of stocks. The attention hypothesis imposes nonlinear restrictions on coefficients across regressions, and we cannot reject them.
【报告人】胡星阳 台湾大学财务金融系教授
【时 间】4月23日中午12：00
【地 点】中国人民大学明德主楼714室
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报告人简介：胡星阳现任台湾大学财务金融系教授。胡教授毕业于美国罗彻斯特大学（University of Rochester），取得商学博士学位（主修财务）。研究范围包括行为财务、公司治理及市场微结构。曾获APFA/PACAP Finance Conference Chicago Mercantile Exchange Competitive Research Award，证券市场发展季刊优秀论文奖，台湾大学管理学院学术研究奖，著作刊登于Financial Management, Pacific-Basin Finance Journal, Corporate Governance: An International Review, International Review of Financial Analysis, 财务金融学刊, 证券市场发展季刊, 经济论文等学术期刊。
汉青经济与金融高级研究院
二零一零年四月二十日
