1. Attention effect on the ex date: Evidence from Taiwan Shing-yang Hu and Yun-lan Tseng

2. Motivation Ex-dividend day phenomenon Stock returns are significantly positive Campbell and Beranek (1955); Durand and May (1960). Observed in many countries Kato and Lowenstein (1995); Frank and Jagannathan (1998) Observed for various distributions - cash dividends, stock dividends, and stock splits Eades, Hess, and Kim (1984)

3. Motivation - Literature Tax Elton and Gruber (1970) Microstructure Bali and Hite (1998); Dubofsky (1992) Small investor preference Black (1986); Lakonishok and Lev (1987)

4. Contribution – New interpretation 1.Attention paid to ex dates Higher publicity Company announcement, Stock exchange Brokerage houses and newspapers reports 2.Attract a higher demand from small investors to push up the price 3.High attention stocks gets more purchase from small investors

5. Contribution – New evidence Provide cross-sectional evidence that, on ex dates, high attention stocks have More newspaper reports (publicity) More purchase from small investors High returns

6. Contribution – New evidence Measures of attention Distribution rate Turnover Six-month period before the ex date Market-to-book value of equity Growth in the number of small shareholders

7. Contribution – New evidence Provide the direct link between repots, small investors purchase, and ex-date returns

8. Data - Sample 1999 to 2005 All stock dividend distributions from companies listed on the Taiwan Stock Exchange (398) Includes nontaxable (138), taxable (123), and mixed distributions (137) Excludes distributions that are combined with a cash dividend, a rights offering, or an employee stock bonus

9. Data – Media reports Search for the keyword “ ex dividend ” in the InfoTimes database. Covers news reported by the China Times Group Newspapers report 70 (less than 20%) events over the period -9 to 0 40 ex dates are reported

10. Data – Order imbalance of small investors Definition of small investors Daily order value < NT$200,000 Definition of order imbalance (buy-sell)/(buy+sell) Aggressive orders For orders submitted before the market opens Buy (sell) order is aggressive if its limit price is higher (lower) than the closing price of the previous day adjusted for the distribution. For orders that arrive after the opening Buy orders is aggressive if its limit price is higher than the prevailing best ask Sell order is aggressive if its limit price is lower than the best bid

11. Data – Standardized abnormal order imbalance

12. Data – abnormal return, t = -50, …,-6.

13. Results – Media reports

14. Results – Small investor OIB

15. Results – Abnormal return

16. Connections between attention and return E t-1 (r it ) = a E t-1 (A it ) E t-1 (r it ) = b 1 DIST i + b 2 TURN i + b 3 M/B i + b 4 SSH i E t-1 (A it ) = c 1 DIST i + c 2 TURN i + c 3 M/B i + c 4 SSH i Overidentifying restrictions E[DIST i (r i – aA i )] = E[TURN i (r i – aA i )] = E[M/B i (r i – aA i )] = E[SSH i (r i – aA i )] = 0. Nonlinear restrictions

17. Results – Connection

18. Results – Institution OIB

19. Results – Large investor OIB

21. Results – Small investor OIB

22. Results – Alternative hypothesis

23. Results – Annual regression