This article is partially supported by the National Natural Science Foundation of China (NSFC Project No. 71073132) and the Fundamental Research Funds for the Central Universities in China (Project Nos. 2011221018 and 2010221001). We thank Joseph Callaghan, Seong-Yeon Cho, Dennis Lasser, Murali Jagannathan, Srini Krishnamurthy, Austin Murphy, Mohinder Parkash, Hong Qian, Jay Wellman, and other seminar participants at Binghamton University and Oakland University for their comments. We are especially grateful to Ravi Jagannathan and Kristian Rydqvist for their advice and to an anonymous referee and the editor (Jayant Kale) for their valuable comments. We acknowledge Robert Hutchinson and Jeanie Robertson's help for proofreading an early version of the manuscript. The usual disclaimer applies.
EX-DIVIDEND DAY PRICE BEHAVIOR OF EXCHANGE-TRADED FUNDS
Article first published online: 5 MAR 2012
© 2012 The Southern Finance Association and the Southwestern Finance Association
Journal of Financial Research
Volume 35, Issue 1, pages 29–53, Spring 2012
How to Cite
Ruan, J. and Ma, T. (2012), EX-DIVIDEND DAY PRICE BEHAVIOR OF EXCHANGE-TRADED FUNDS. Journal of Financial Research, 35: 29–53. doi: 10.1111/j.1475-6803.2011.01308.x
- Issue published online: 5 MAR 2012
- Article first published online: 5 MAR 2012
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