Abstract
We investigate buy–sell imbalances (BSIs) around ex-dividend days on the Taiwan Stock Exchange (TWSE) and find that trading activities are not entirely correlated with investor tax status. We find that margin traders and short sellers engage in arbitrage by selling more stocks for those with high abnormal returns cum- and ex-dividend, respectively. Tax-neutral dealers engage in overnight trading while tax-disadvantaged foreigners refrain from selling stocks cum-dividend.
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