Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000

Assoumou Menye Oscar

doi:doi:10.11648/j.jfa.20210904.15

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Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000

Assoumou Menye Oscar

Published in Journal of Finance and Accounting (Volume 9, Issue 4)

Received: 2 July 2021 Accepted: 20 July 2021 Published: 29 July 2021

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Abstract

There are often two competing assumptions as to the interpretation to be given to price adjustments on dividend detachment dates. The tax assumption that the adjustment reflects the tax differential between capital gains and dividends and the tax heterogeneity assumption that favors the creation of clients and the holding of high-yield securities by categories of investors with little income tax. The alternative hypothesis emphasizes arbitrages and dividend capture strategies and concludes that in equilibrium the adjustments reflect the transaction costs of arbitragists. The difference between these two hypotheses is hardly palpable. This work proposes a double contribution. Theoretically, it integrates transaction fees into a model of arbitrage between capital gains and dividends. It is therefore shown, by finding the results of customer effects and by generating new relationships between the fall in the price and transaction costs, that the two hypotheses do not generate contradictory results and respond to the existence of two different tax systems on the Monthly Settlement (RM) and on the Cash. Empirically, it proposes, on the one hand, a measure of implicit transaction costs using the range, based on daily data observed around dividend detachment dates and, on the other hand, it highlights a statistic that reflects the tax differential in the markets. Finally, a study of the volumes offered and requested reinforces the idea that the existence of transaction costs is not incompatible with the customer effect.

Published in	Journal of Finance and Accounting (Volume 9, Issue 4)
DOI	10.11648/j.jfa.20210904.15
Page(s)	145-153
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2021. Published by Science Publishing Group

Keywords

Arbitration, Transaction Costs, Capital Gain, Dividend, Customer Effect

References

[1]	AMIHUD Y. and MENDELSON H., 1986, "Asset pricing and the bid-ask spread", Journal of Financial Economics, April 17, pp. 223-249.
[2]	BRENNAN M., 1970, "Taxes, market valuation and corporate financial policy", The National Tax Journal, 23 December, p. 417-427.
[3]	DESBRIERES P., 1988, "L'effet de clientèle des dividendes sur le marché français: un test empirique", Finance, June 9, p. 5-16.
[4]	Dierkens N., (1991), Information asymmetry and equity issues, Journal of Financial and Quantitative Analysis, vol 26 n°1, pp 181-199.
[5]	ELTON E. G. and GRUBER M. J., 1970, "Marginal stockholder tax rates and the clientele effect", Review of Economics and Statistics, 52, February, pp. 68-74.
[6]	Fama E. et MacBeth J. D. (1973), “Risk, return, and equilibrium: Empirical tests”, Journal of Political Economy, May/Jun, pp. 607-637.
[7]	GAJEWSKI J. F., 1993, "La valeur de marché du dividende: fiscalité, arbitrage et frais de transaction", Cahier de recherché du CEREG, n°93-05.
[8]	Ginglinger E et Gajewski J-F., 1996, Augmentation de capital en présence d'asymétrie d'information, Cahier de Recherche du CEREG n°9608, Université Paris Dauphine.
[9]	HAMON J., 1993, "Fourchette displayed and fourchette réalisée", Cahier de recherches du CEREG, n°93-01.
[10]	HAMON J. and JACQUILLAT B., 1992, Le marché français des actions: études empiriques, 1977-1991, PUF.
[11]	Henderson G. V., 1990, Problems and solutions in conducting event studies, The Journal of Risk and Insurance, pp 282-306.
[12]	KALAY A., 1982, "The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect", Journal of Finance, 37 September, pp. 1059-1070.
[13]	KHALED ZOUARI, Effet-clientèle et politique financière de l'entreprise: étude théorique et empirique, Thèse de doctorat en sciences de gestion, Université de Rennes 1, 1989.
[14]	KARPOFF J. M. and WALKING R. A., 1990, "Dividend capture in NASDAQ stocks", Journal of Financial Economics, 28 November-December, pp. 39-65.
[15]	PAGE E., 1963, "Ordered hypotheses for multiple treatments: a significance test for linear ranks", Journal of the American Statistical Association, 58, p. 216-230.
[16]	STICKEL S. E., 1991, "The ex-dividend behavior of nonconvertible preferred stocks returns and trading volume", Journal of Financial and Quantitative Analysis, 26, pp. 45-61.

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APA Style

Assoumou Menye Oscar. (2021). Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000. Journal of Finance and Accounting, 9(4), 145-153. https://doi.org/10.11648/j.jfa.20210904.15

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ACS Style

Assoumou Menye Oscar. Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000. J. Finance Account. 2021, 9(4), 145-153. doi: 10.11648/j.jfa.20210904.15

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AMA Style

Assoumou Menye Oscar. Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000. J Finance Account. 2021;9(4):145-153. doi: 10.11648/j.jfa.20210904.15

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@article{10.11648/j.jfa.20210904.15,
  author = {Assoumou Menye Oscar},
  title = {Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000},
  journal = {Journal of Finance and Accounting},
  volume = {9},
  number = {4},
  pages = {145-153},
  doi = {10.11648/j.jfa.20210904.15},
  url = {https://doi.org/10.11648/j.jfa.20210904.15},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20210904.15},
  abstract = {There are often two competing assumptions as to the interpretation to be given to price adjustments on dividend detachment dates. The tax assumption that the adjustment reflects the tax differential between capital gains and dividends and the tax heterogeneity assumption that favors the creation of clients and the holding of high-yield securities by categories of investors with little income tax. The alternative hypothesis emphasizes arbitrages and dividend capture strategies and concludes that in equilibrium the adjustments reflect the transaction costs of arbitragists. The difference between these two hypotheses is hardly palpable. This work proposes a double contribution. Theoretically, it integrates transaction fees into a model of arbitrage between capital gains and dividends. It is therefore shown, by finding the results of customer effects and by generating new relationships between the fall in the price and transaction costs, that the two hypotheses do not generate contradictory results and respond to the existence of two different tax systems on the Monthly Settlement (RM) and on the Cash. Empirically, it proposes, on the one hand, a measure of implicit transaction costs using the range, based on daily data observed around dividend detachment dates and, on the other hand, it highlights a statistic that reflects the tax differential in the markets. Finally, a study of the volumes offered and requested reinforces the idea that the existence of transaction costs is not incompatible with the customer effect.},
 year = {2021}
}

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TY  - JOUR
T1  - Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000
AU  - Assoumou Menye Oscar
Y1  - 2021/07/29
PY  - 2021
N1  - https://doi.org/10.11648/j.jfa.20210904.15
DO  - 10.11648/j.jfa.20210904.15
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
SP  - 145
EP  - 153
PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20210904.15
AB  - There are often two competing assumptions as to the interpretation to be given to price adjustments on dividend detachment dates. The tax assumption that the adjustment reflects the tax differential between capital gains and dividends and the tax heterogeneity assumption that favors the creation of clients and the holding of high-yield securities by categories of investors with little income tax. The alternative hypothesis emphasizes arbitrages and dividend capture strategies and concludes that in equilibrium the adjustments reflect the transaction costs of arbitragists. The difference between these two hypotheses is hardly palpable. This work proposes a double contribution. Theoretically, it integrates transaction fees into a model of arbitrage between capital gains and dividends. It is therefore shown, by finding the results of customer effects and by generating new relationships between the fall in the price and transaction costs, that the two hypotheses do not generate contradictory results and respond to the existence of two different tax systems on the Monthly Settlement (RM) and on the Cash. Empirically, it proposes, on the one hand, a measure of implicit transaction costs using the range, based on daily data observed around dividend detachment dates and, on the other hand, it highlights a statistic that reflects the tax differential in the markets. Finally, a study of the volumes offered and requested reinforces the idea that the existence of transaction costs is not incompatible with the customer effect.
VL  - 9
IS  - 4
ER  -

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Author Information

Assoumou Menye Oscar

Department "Finance and Accounting", ESSEC of the Douala University, Douala, Cameroon

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Plain Text BibTeX RIS

APA Style

Assoumou Menye Oscar. (2021). Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000. Journal of Finance and Accounting, 9(4), 145-153. https://doi.org/10.11648/j.jfa.20210904.15

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ACS Style

Assoumou Menye Oscar. Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000. J. Finance Account. 2021, 9(4), 145-153. doi: 10.11648/j.jfa.20210904.15

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AMA Style

Assoumou Menye Oscar. Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000. J Finance Account. 2021;9(4):145-153. doi: 10.11648/j.jfa.20210904.15

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@article{10.11648/j.jfa.20210904.15,
  author = {Assoumou Menye Oscar},
  title = {Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000},
  journal = {Journal of Finance and Accounting},
  volume = {9},
  number = {4},
  pages = {145-153},
  doi = {10.11648/j.jfa.20210904.15},
  url = {https://doi.org/10.11648/j.jfa.20210904.15},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.jfa.20210904.15},
  abstract = {There are often two competing assumptions as to the interpretation to be given to price adjustments on dividend detachment dates. The tax assumption that the adjustment reflects the tax differential between capital gains and dividends and the tax heterogeneity assumption that favors the creation of clients and the holding of high-yield securities by categories of investors with little income tax. The alternative hypothesis emphasizes arbitrages and dividend capture strategies and concludes that in equilibrium the adjustments reflect the transaction costs of arbitragists. The difference between these two hypotheses is hardly palpable. This work proposes a double contribution. Theoretically, it integrates transaction fees into a model of arbitrage between capital gains and dividends. It is therefore shown, by finding the results of customer effects and by generating new relationships between the fall in the price and transaction costs, that the two hypotheses do not generate contradictory results and respond to the existence of two different tax systems on the Monthly Settlement (RM) and on the Cash. Empirically, it proposes, on the one hand, a measure of implicit transaction costs using the range, based on daily data observed around dividend detachment dates and, on the other hand, it highlights a statistic that reflects the tax differential in the markets. Finally, a study of the volumes offered and requested reinforces the idea that the existence of transaction costs is not incompatible with the customer effect.},
 year = {2021}
}

Copy | Download

TY  - JOUR
T1  - Diachronic Analysis of the Impact of Arbitration on Transaction Costs: The Case of the Detachment of Dividends in France in the Period from 1990 to 2000
AU  - Assoumou Menye Oscar
Y1  - 2021/07/29
PY  - 2021
N1  - https://doi.org/10.11648/j.jfa.20210904.15
DO  - 10.11648/j.jfa.20210904.15
T2  - Journal of Finance and Accounting
JF  - Journal of Finance and Accounting
JO  - Journal of Finance and Accounting
SP  - 145
EP  - 153
PB  - Science Publishing Group
SN  - 2330-7323
UR  - https://doi.org/10.11648/j.jfa.20210904.15
AB  - There are often two competing assumptions as to the interpretation to be given to price adjustments on dividend detachment dates. The tax assumption that the adjustment reflects the tax differential between capital gains and dividends and the tax heterogeneity assumption that favors the creation of clients and the holding of high-yield securities by categories of investors with little income tax. The alternative hypothesis emphasizes arbitrages and dividend capture strategies and concludes that in equilibrium the adjustments reflect the transaction costs of arbitragists. The difference between these two hypotheses is hardly palpable. This work proposes a double contribution. Theoretically, it integrates transaction fees into a model of arbitrage between capital gains and dividends. It is therefore shown, by finding the results of customer effects and by generating new relationships between the fall in the price and transaction costs, that the two hypotheses do not generate contradictory results and respond to the existence of two different tax systems on the Monthly Settlement (RM) and on the Cash. Empirically, it proposes, on the one hand, a measure of implicit transaction costs using the range, based on daily data observed around dividend detachment dates and, on the other hand, it highlights a statistic that reflects the tax differential in the markets. Finally, a study of the volumes offered and requested reinforces the idea that the existence of transaction costs is not incompatible with the customer effect.
VL  - 9
IS  - 4
ER  -

Copy | Download