Ex-Day Returns of Stock Distributions: An Anchoring Explanation

Published Online:https://doi.org/10.1287/mnsc.2017.2843

References

  • Baker M, Wurgler J (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61(4):1645–1680.CrossrefGoogle Scholar
  • Baker M, Pan X, Wurgler J (2012) The effect of reference point prices on mergers and acquisitions. J. Financial Econom. 106(1):49–71.CrossrefGoogle Scholar
  • Bali R, Hite GL (1998) Ex dividend day stock price behavior: Discreteness or tax-induced clienteles? J. Financial Econom. 47(2):127–159.CrossrefGoogle Scholar
  • Barber BM, Odean T (2000) Trading is hazardous to your wealth: The common stock investment performance of individual investors. J. Finance 55(2):773–806.CrossrefGoogle Scholar
  • Beggs A, Graddy K (2009) Anchoring effects: Evidence from art auctions. Amer. Econom. Rev. 99(3):1027–1039.CrossrefGoogle Scholar
  • Campbell SD, Sharpe SA (2009) Anchoring bias in consensus forecasts and its effect on market prices. J. Financial Quant. Anal. 44(2):369–390.CrossrefGoogle Scholar
  • Carhart MM (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.CrossrefGoogle Scholar
  • Cen L, Hilary G, Wei KCJ (2013) The role of anchoring bias in the equity market: Evidence from analysts’ earnings forecasts and stock returns. J. Financial Quant. Anal. 48(1):47–76.CrossrefGoogle Scholar
  • Chang EC, Luo Y, Ren J (2013) Cross-listing and pricing efficiency: The informational and anchoring role played by the reference price. J. Banking and Finance 37(11):4449–4464.CrossrefGoogle Scholar
  • Chung KH, Chuwonganant C, McCormick DT (2004) Order preferencing and market quality on NASDAQ before and after decimalization. J. Financial Econom. 71(3):581–612.CrossrefGoogle Scholar
  • Conrad JS, Conroy R (1994) Market microstructure and the ex-date return. J. Finance 49(4):1507–1519.CrossrefGoogle Scholar
  • Dennis P, Strickland D (2003) The effect of stock splits on liquidity and excess returns: Evidence from shareholder ownership composition. J. Financial Res. 26(3):355–370.CrossrefGoogle Scholar
  • Dhar R, Zhu N (2006) Up close and personal: Investor sophistication and the disposition effect. Management Sci. 52(5):726–740.LinkGoogle Scholar
  • Dougal C, Engelberg J, Parsons CA, Van Wesep ED (2015) Anchoring on credit spreads. J. Finance 70(3):1039–1080.CrossrefGoogle Scholar
  • Eades KM, Hess PJ, Kim EH (1984) On interpreting security returns during the ex-dividend period. J. Financial Econom. 13(1):3–34.CrossrefGoogle Scholar
  • Easley D, O’Hara M, Saar G (2001) How stock splits affect trading: A microstructure approach. J. Financial Quant. Anal. 36(1):25–51.CrossrefGoogle Scholar
  • Elton EJ, Gruber MJ (1970) Marginal stockholder tax rates and the clientele effect. Rev. Econom. Statist. 52(1):68–74.CrossrefGoogle Scholar
  • Epley N, Gilovich T (2005) When effortful thinking influences judgmental anchoring: Differential effects of forewarning and incentives on self-generated and externally provided anchors. J. Behav. Decision Making 18(3):199–212.CrossrefGoogle Scholar
  • Frank M, Jagannathan R (1998) Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes. J. Financial Econom. 47(2):161–188.CrossrefGoogle Scholar
  • Galinsky AD, Mussweiler T (2001) First offers as anchors: The role of perspective-taking and negotiator focus. J. Personality Soc. Psych. 81(4):657–669.CrossrefGoogle Scholar
  • Genesove D, Mayer C (2001) Loss aversion and seller behavior: Evidence from the housing market. Quart. J. Econom. 116(4):1233–1260.CrossrefGoogle Scholar
  • George TJ, Hwang C-Y (2004) The 52-week high and momentum investing. J. Finance 59(5):2145–2176.CrossrefGoogle Scholar
  • Graham JR, Michaely R, Roberts MR (2003) Do price discreteness and transactions costs affect stock returns? Comparing ex-dividend pricing before and after decimalization. J. Finance 58(6):2611–2635.CrossrefGoogle Scholar
  • Grinblatt MS, Masulis RW, Titman S (1984) The valuation effects of stock splits and stock dividends. J. Financial Econom. 13(4):461–490.CrossrefGoogle Scholar
  • Han KC (1995) The effects of reverse splits on the liquidity of the stock. J. Financial Quant. Anal. 30(1):159–169.CrossrefGoogle Scholar
  • Hirshleifer D (2001) Investor psychology and asset pricing. J. Finance 56(4):1533–1597.CrossrefGoogle Scholar
  • Hirshleifer D, Lim SS, Teoh SH (2009) Driven to distraction: Extraneous events and underreaction to earnings news. J. Finance 64(5):2289–2325.CrossrefGoogle Scholar
  • Ikenberry DL, Rankine G, Stice EK (1996) What do stock splits really signal? J. Financial Quant. Anal. 31(3):357–375.CrossrefGoogle Scholar
  • Jones CM, Lamont OA (2002) Short-sale constraints and stock returns. J. Financial Econom. 66(2–3):207–239.CrossrefGoogle Scholar
  • Karpoff JM, Walkling RA (1990) Dividend capture in NASDAQ stocks. J. Financial Econom. 28(1–2):39–65.CrossrefGoogle Scholar
  • Kumar A (2009a) Hard-to-value stocks, behavioral biases, and informed trading. J. Financial Quant. Anal. 44(6):1375–1401.CrossrefGoogle Scholar
  • Kumar A (2009b) Who gambles in the stock market? J. Finance 64(4):1889–1933.CrossrefGoogle Scholar
  • Kuo W-Y, Lin T-C, Zhao J (2015) Cognitive limitation and investment performance: Evidence from limit order clustering. Rev. Financial Stud. 28(3):838–875.CrossrefGoogle Scholar
  • Lakonishok J, Lev B (1987) Stock splits and stock dividends: Why, who, and when. J. Finance 42(4):913–932.CrossrefGoogle Scholar
  • Lambson VE, McQueen GR, Slade BA (2004) Do out-of-state buyers pay more for real estate? An examination of anchoring-induced bias and search costs. Real Estate Econom. 32(1):85–126.CrossrefGoogle Scholar
  • Lamoureux CG, Poon P (1987) The market reaction to stock splits. J. Finance 42(5):1347–1370.CrossrefGoogle Scholar
  • Lopes LL (1985) Averaging rules and adjustment processes in Bayesian inference. Bull. Psychonomic Soc. 23(6):509–512.CrossrefGoogle Scholar
  • Maloney MT, Mulherin JH (1992) The effects of splitting on the ex: A microstructure reconciliation. Financial Management 21(4):44–59.CrossrefGoogle Scholar
  • Nayar N, Rozeff MS (2001) Record date, when-issued, and ex-date effects in stock splits. J. Financial Quant. Anal. 36(1):119–139.CrossrefGoogle Scholar
  • Northcraft GB, Neale MA (1987) Experts, amateurs, and real estate: An anchoring-and-adjustment perspective on property pricing decisions. Organ. Behav. Human Decision Processes 39(1):84–97.CrossrefGoogle Scholar
  • Pontiff J (2006) Costly arbitrage and the myth of idiosyncratic risk. J. Accounting Econom. 42(1–2):35–52.CrossrefGoogle Scholar
  • Seru A, Shumway T, Stoffman N (2010) Learning by trading. Rev. Financial Stud. 23(2):705–739.CrossrefGoogle Scholar
  • Shafir E, Diamond P, Tversky A (1997) Money illusion. Quart. J. Econom. 112(2):341–374.CrossrefGoogle Scholar
  • Shleifer A, Vishny RW (1997) The limits of arbitrage. J. Finance 52(1):35–55.CrossrefGoogle Scholar
  • Stambaugh RF, Yu J, Yuan Y (2012) The short of it: Investor sentiment and anomalies. J. Financial Econom. 104(2):288–302.CrossrefGoogle Scholar
  • Tversky A, Kahneman D (1974) Judgment under uncertainty: Heuristics and biases. Science 185(4157):1124–1131.CrossrefGoogle Scholar
  • Weld WC, Michaely R, Thaler RH, Benartzi S (2009) The nominal share price puzzle. J. Econom. Perspect. 23(2):121–142.CrossrefGoogle Scholar
  • Woolridge JR (1983) Ex-date stock price adjustment to stock dividends: A note. J. Finance 38(1):247–255.CrossrefGoogle Scholar
  • Woolridge JR, Chambers DR (1983) Reverse splits and shareholder wealth. Financial Management 12(3):5–15.CrossrefGoogle Scholar
  • Wurgler J, Zhuravskaya E (2002) Does arbitrage flatten demand curves for stocks? J. Bus. 75(4):583–608.CrossrefGoogle Scholar
  • Yu J, Yuan Y (2011) Investor sentiment and the mean-variance relation. J. Financial Econom. 100(2):367–381.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.