Workshop Series: Terry Walter

27 April, 2012 - 10:30 to 12:00
Room 103 Colin Clark Building #39

Abstract:

We use TAQ data to investigate the microstructure of 73,150 ex-dividend day events during the period August 1993 to December 2008. We calculate calendar and transaction time returns (adjusted and unadjusted) and other microstructure variables for close-to-close and close-to-open prices, employing trade prices, average trade prices, and ask, bid and midpoint quotes. Statistically significant positive ex-dividend day returns exist in all empirical partitions. However, the costs for a round trip transaction are larger; accordingly the returns are not economically exploitable. We conclude that significant positive ex-day returns exist because frictions in the market inhibit market participants' arbitrage activities.

Terry Walter, Professor of Finance, UTS Business School, Sydney

Terry Walter is a Professor of Finance at the UTS Business School. He was appointed in July 2008. Terry holds a PhD from the University of Western Australia and a Bachelor of Commerce degree from the University of Queensland. He has held professorial appointments at the University of Sydney, The University of New South Wales, UNSW Asia and Macquarie University. He has a distinguished publication record, a very strong supervision record, and a consistently strong record of success in research grants, in particular from the Australian Research Council. Terry currently serves as the Equities Research Director at the Securities Industry Research Centre of Asia-Pacific (SIRCA) (he was instrumental in SIRCA's establishment). He is also a Research Leader for Market Design at the Capital Markets Cooperative Research Centre. From 1999 to 2005 he was a member of the Pooled Development Fund Registration Board, an Australian Federal Board that encourages venture capital financing of innovation.