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Effects of tax reform on drop-off ratios and on the ex-dividend and ex-right prices

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  • Jack Francis

    ()

  • Tsing Wu

    ()

  • Nan-Ting Kuo

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-011-0246-z
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 39 (2012)
    Issue (Month): 2 (August)
    Pages: 147-164

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    Handle: RePEc:kap:rqfnac:v:39:y:2012:i:2:p:147-164

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Drop-off Ratio; Ex-dividend; Ex-right; Elton and Gruber’s model; Integrated tax system; Tax reform; Tick size; G30; G35; H20;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Leonie Bell & Tim Jenkinson, 2002. "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," Journal of Finance, American Finance Association, vol. 57(3), pages 1321-1346, 06.
    2. Lakonishok, Josef & Vermaelen, Theo, 1983. " Tax Reform and Ex-Dividend Day Behavior," Journal of Finance, American Finance Association, vol. 38(4), pages 1157-79, September.
    3. Kalay, Avner, 1982. " The Ex-Dividend Pay Behavior of Stock Prices: A Re-Examination of the Clientele Effect," Journal of Finance, American Finance Association, vol. 37(4), pages 1059-70, September.
    4. Jakob, Keith & Ma, Tongshu, 2004. "Tick size, NYSE rule 118, and ex-dividend day stock price behavior," Journal of Financial Economics, Elsevier, vol. 72(3), pages 605-625, June.
    5. Murray Frank & Ravi Jagannathan, 1997. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Staff Report 229, Federal Reserve Bank of Minneapolis.
    6. John R. Graham & Roni Michaely & Michael R. Roberts, 2003. "Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization," Journal of Finance, American Finance Association, vol. 58(6), pages 2611-2636, December.
    7. Poterba, James M & Summers, Lawrence H, 1984. " New Evidence that Taxes Affect the Valuation of Dividends," Journal of Finance, American Finance Association, vol. 39(5), pages 1397-1415, December.
    8. Merton H. Miller & Franco Modigliani, 1961. "Dividend Policy, Growth, and the Valuation of Shares," The Journal of Business, University of Chicago Press, vol. 34, pages 411.
    9. Michaely, Roni, 1991. " Ex-dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act," Journal of Finance, American Finance Association, vol. 46(3), pages 845-59, July.
    10. Booth, Laurence D & Johnston, David J, 1984. " The Ex-Dividend Day Behavior of Canadian Stock Prices: Tax Changes and Clientele Effects," Journal of Finance, American Finance Association, vol. 39(2), pages 457-76, June.
    11. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    12. Palani-Rajan Kadapakkam, 2000. "Reduction of Constraints on Arbitrage Trading and Market Efficiency: An Examination of Ex-Day Returns in Hong Kong after Introduction of Electronic Settlement," Journal of Finance, American Finance Association, vol. 55(6), pages 2841-2861, December.
    13. Elton, Edwin J & Gruber, Martin J, 1970. "Marginal Stockholder Tax Rates and the Clientele Effect," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 68-74, February.
    14. Lasfer, M Ameziane, 1995. " Ex-day Behavior: Tax or Short-Term Trading Effects," Journal of Finance, American Finance Association, vol. 50(3), pages 875-97, July.
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    Cited by:
    1. Kuo, Nan-Ting & Lee, Cheng-Few, 2013. "Effects of dividend tax and signaling on firm valuation: Evidence from taxable stock dividend announcements," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 157-180.

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