Journal of Finance, Volume 72,Issue 1,February 2017,Pages 461-494

除息的盈利能力和机构交易技术

作者：Tyler R. Henry (Miami University), Jennifer L. Koski (University of Washington)

摘要：我们使用机构交易数据来检验交易技术熟练的机构能否利用正的异常除息收益。结果表明，机构集中在某些日期前进行交易，并在这些事件附近几日赚取了更高的利润。股利获取交易占所有机构买入交易的6%，但却贡献了整体异常收益的15%。机构的股息获取交易是持续进行的。机构事前盈利能力也与交易执行技术具有很强的横截面相关性。执行技术和利润之间的关系在所设置的安慰剂非事前检验附近消失。结果表明，交易技术熟练的机构瞄准特定的机会，而不是随着时间的推移均匀收益。此外，只有熟练的机构才能在股息获取交易中获利。

Ex-Dividend Profitability and Institutional Trading Skill

Tyler R. Henry (Miami University), Jennifer L. Koski (University of Washington)

ABSTRACT

We use institutional trading data to examine whether skilled institutions exploit positive abnormal ex-dividend returns. Results show that institutions concentrate trading around certain ex-dates, and earn higher profits around these events. Dividend capture trades represent 6% of all institutional buy trades but contribute 15% of overall abnormal returns. Institutional dividend capture trading is persistent. Institutional ex-day profitability is also strongly cross-sectionally related to trade execution skill. The relation between execution skill and profits disappears around placebo non-ex-days. Results suggest that skilled institutions target certain opportunities rather than benefiting uniformly over time. Furthermore, only skilled institutions can profit from dividend capture.、

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12472/full

翻译：秦秀婷