REITs, Decimalization, and Ex-dividend Stock Prices

REITs, Decimalization, and Ex-dividend Stock Prices The ex-dividend pricing of real estate investment trust (REIT) stocks under fractional and decimal pricing regimes is investigated. For REITs, with the move from discrete to decimal pricing, the price drop on the ex-dividend day approaches the dividend amount, the ex-date abnormal return decreases, the spread-to-dividend ratio declines, abnormal trading volume increases, and the potential erroneous appearance of a tax-clientele effect is diminished. Discreteness and other transaction costs are reduced with decimalization implying that part of the persistence in the appearance of the tax-clientele effect when modeling ex-dividend stock pricing might be generated by the interaction between transaction costs, dividend amount, and yield. The Journal of Real Estate Finance and Economics Springer Journals

REITs, Decimalization, and Ex-dividend Stock Prices

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Kluwer Academic Publishers-Plenum Publishers
Copyright © 2007 by Springer Science+Business Media, LLC
Economics; Regional/Spatial Science; Financial Services
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