Market microstructure for a portfolio of dividend paying firms around ex-dividend days
This thesis contributes to the existing literature on market microstructure by presenting three essays on the market microstructure around ex-dividend days. The first essay studies the market microstructure “footprints” associated with trading and tax-arbitrage activity around ex-dividend day using...
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University of Essex
2014
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.676302 |