- Chicago Booth, How should we balance efficiency and equality?
- The free dividend fallacy could be costing you
- Samuel M. Hartzmark & David H. Solomon, The Dividend Disconnect (2017)
We show that many individual investors, mutual funds and institutions trade as if dividends and capital gains are separate disconnected attributes, not fully appreciating that dividends come at the expense of price decreases. Behavioral trading patterns (e.g. the disposition eect) are driven by price changes excluding dividends. Investors treat dividends as a separate stable income stream, holding high dividend-yield stocks longer and displaying less sensitivity to their price changes. Demand for dividends is systematically higher in periods of low interest rates and poor market performance, leading to high valuations and lower future returns for dividend-paying stocks. Investors rarely reinvest dividends into the stocks from which they came, instead purchasing other stocks. This creates predictable marketwide price increases on days of large aggregate dividend payouts, concentrated in stocks not paying dividends.
The Big Question: Are successful active managers lucky or skilled?
- John Rekenthaler, vice-president of research at Morningstar
- Lubos Pastor, Chicago Booth
- Juhani Linnainmaa, Chicago Booth
- Stephen Brodsky, CEO of Spot Trading
- John Heaton, Chicago Booth
- Tobias Moskowitz, Chicago Booth
- Eric Budish, Chicago Booth
- Eric Budish et al., The High Frequency Trading Arms Race- Frequent Batch Auctions as a Market Design Response, Quarterly Journal of Economics, 130(4), Nov 2015, 1547-1621
via Chicago Booth
“Are we prepared for the next financial crisis?”と題されたChicago大学によるビデオです。