Abstract: It is necessary to discuss whether tax treatment and price-to-book ratio can explain the ex-dividend price anomaly of REITs and common stocks. Differences in tax treatment may cause REITs and stocks to have different ex-dividend price behaviors. Moreover, ex-dividend events will change the price-to-book ratio, prompting investors to adjust their portfolio and affecting the prices of REITs and stocks after the ex-dividend date. This study finds that the ex-dividend price behaviors of REITs and stocks are indeed related to their tax treatment and the changes of price-to-book ratio, which is conductive to widening the research perspective of the related field and also providing valuable references for making investment strategies.

Key words: ex-dividend date price anomaly; tax treatment; price-to-book effect; REIT, bootstrap approach