Twenty-five Years of Tax Law Changes and Investor Response
AbstractEx-dividend day research detects dividend-clientele effects that the tax-clientele hypothesis attributes to peronal taxation. In this study I examine all ten personal tax changes between 1963 and 1988 and find little support for the tax-clientele hypothesis. Few tax changes are accompanied by significant changes in the ex-day ratio, and more than half are opposite the direction predicted. In particular, the largest tax changes, in 1982 and 1987, fail to support the tax-clientele hypothesis. The results are consistent with some unknown, non-tax-induced clientele effect(s).
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 16 (1993)
Issue (Month): 1 (Spring)
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- Daunfeldt, Sven-Olov & Selander, Carina & Wikström, Magnus, 2006. "Taxation, Dividend Payments and Ex-Day Price Changes," UmeÃ¥ Economic Studies 684, Umeå University, Department of Economics.
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- Jeff Whitworth & Yi Zhang, 2010. "Accrued capital gains and ex-dividend day pricing," Managerial Finance, Emerald Group Publishing, vol. 36(8), pages 680-702, August.
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