No abstract

We assess the market microstructure properties of U.S. banking firms' equity, to determine whether they exhibit more or less evidence of asset opaqueness than similar-sized nonbanking firms. The evidence strongly indicates that large banks (traded on the NYSE) have very similar trading properties to their matched nonfinancial firms, but smaller banks (traded on NASDAQ) trade much less frequently despite having very similar spreads. We also estimate the impact of portfolio composition on a bank's market microstructure characteristics. Problem (noncurrent) loans tend to raise the frequency with which the bank's equity trades, as well as the equity's return volatility. The implications for regulatory policy and future market microstructure research are discussed.

No abstract

We assess the market microstructure properties of U.S. banking firms' equity, to determine whether they exhibit more or less evidence of asset opaqueness than similar-sized nonbanking firms. The evidence strongly indicates that large banks (traded on the NYSE) have very similar trading properties to their matched nonfinancial firms, but smaller banks (traded on NASDAQ) trade much less frequently despite having very similar spreads. We also estimate the impact of portfolio composition on a bank's market microstructure characteristics. Problem (noncurrent) loans tend to raise the frequency with which the bank's equity trades, as well as the equity's return volatility. The implications for regulatory policy and future market microstructure research are discussed.

This paper documents some empirical facts about ex-day abnormal returns to high dividend yield stocks that are potentially subject to corporate dividend capture. We find that average abnormal ex-dividend day returns are uniformly negative in each year after the introduction of negotiated commission rates and that time variation in ex-day returns during the negotiated commission rates era is consistent with corporate tax-based dividend capture. Ex-day returns are more negative when the tax advantage to corporate dividend capture is greatest and more positive when increases in transaction costs and risk reduce incentives to engage in corporate tax-based dividend capture.Traditionally, the ex-day return of a stock has been viewed as a means to examine how market participants value lower-taxed capital gains relative to higher-taxed dividends. For example, a 90 cent decline on a stock that pays a one dollar dividend suggests that the market values one dollar of dividends the same as 90 cents of capital gains. 1 This interpretation often implicitly assumes that there is one investor tax clientele that determines the ex-day return. As Michaely and Vila~1995, 1996! and Boyd and Jagannathan~1994! argue, however, the ex-day return may be viewed more properly as being determined by the interaction of investors with different tax-induced valuations on dividends and capital gains. 2 As the ex-dividend day approaches for a stock, investors with a higher relative tax burden on dividend income sell some holdings of dividend paying stocks to investors with a lower relative tax burden on dividend income. For this trade to occur, the ex-day return should have a tax-induced component that ref lects the tax profile of various investor tax clienteles. For instance, if one clientele values dividends