Ex day effects of the 2003 dividend tax cut

被引：0

作者：

Bali, Rakesh ^{[1
]}

Francis, Jack Clark ^{[2
]}

机构：

[1] Risk Return Consulting, Scarsdale, NY 10583 USA

[2] Zicklin Sch Business, Bernard Baruch Coll, Dept Econ & Finance, New York, NY 10010 USA

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2016年 / 41卷

关键词：

Ex day; Tax clienteles; Transaction costs; Price discreteness; Bid-ask prices; STOCK-PRICE BEHAVIOR; REFORM ACT; DISCRETENESS; RETURNS;

D O I：

10.1016/j.iref.2015.09.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze ex day dynamics around the May 2003 dividend tax cut in a framework with arbitrageurs as liquidity providers. Raw returns and ratios for all groups don't change significantly around the event but the volatilities decline significantly. The volume declines more (less) strongly for high (low) yields. This is consistent with the reduction in the differential tax rates leading to a reduced demand for capital losses around the ex day, and a reduction in informed trading. The price dynamics for the one week before and after periods also support a market microstructure explanation. Evidence on market quality is mixed. (c) 2015 Elsevier Inc. All rights reserved.

引用

页码：11 / 22

页数：12

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