Further evidence from ex-dividend days

被引：2
|
作者：
Bali, Rakesh [1 ]
Francis, Jack C. [2 ]
机构：
[1] Risk Return Consulting, Scarsdale, NY 10583 USA
[2] CUNY, Dept Econ & Finance, Zicklin Sch Business, Baruch Coll, New York, NY 10010 USA
来源：
APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 06期
关键词：
ex-day; tax clienteles; transaction costs; price discreteness; bid-ask prices; STOCK-PRICE BEHAVIOR; RETURNS; REEXAMINATION; DISCRETENESS;
D O I：
10.1080/13504851.2011.587763
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We tested how dividend pricing is impacted by the reduction in capital gains tax rate to 20% (May 1997) and the move to trading in 6.25 not subset of (June 1997). Price behaviour does not support tax clienteles but is consistent with transaction costs-based explanation. Raw returns, for all groups, are within or close to weak no-arbitrage bounds and are unchanged around these events. We find that taxes may impact investor behaviour but they do not impact marginal dividend pricing.
引用
收藏
页码：537 / 540
页数：4
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