Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden

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Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden

Author Info

Daunfeldt, Sven-Olov () (The Swedish Retail Institute (HUI))

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Sven-Olov Daunfeldt

Abstract

Changes in the Swedish tax code during the 1990s were structured in a way that offers an opportunity to test whether ex-dividend prices were determined by the taxation of domestic individual investors. The results presented in this paper indicate that ex-dividend prices were not influenced by the relatively large tax changes for domestic individual investors. In addition, there was no evidence that the taxation of domestic individual investors influenced ex-dividend prices for any specific dividend yield group.

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Publisher Info
Paper provided by The Swedish Retail Institute (HUI) in its series HUI Working Papers with number 3.

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Length: 27 pages
Date of creation: 05 Dec 2005
Date of revision:
Handle: RePEc:hhs:huiwps:0003

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Postal: The Swedish Retail Institute (HUI), Regeringsgatan 60, 103 29 Stockholm, Sweden
Phone: +46 (0)8 762 72 80
Fax: +46 (0)8 679 76 06
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Other versions of this item:

Article
- Sven-Olov Daunfeldt, 2007. "Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden," European Journal of Finance, Taylor and Francis Journals, vol. 13(7), pages 657-667. [Downloadable!] (restricted)

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

This paper has been announced in the following NEP Reports:

NEP-ACC-2007-03-03 (Accounting & Auditing)
NEP-ALL-2007-03-03 (All new papers)
NEP-CFN-2007-03-03 (Corporate Finance)

References listed on IDEAS
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.:

Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March. [Downloadable!] (restricted)
John H. Boyd & Ravi Jagannathan, 1994. "Ex-dividend price behavior of common stocks," Working Papers 500, Federal Reserve Bank of Minneapolis. [Downloadable!]
Other versions:
- John H. Boyd & Ravi Jagannathan, 1994. "Ex-dividend price behavior of common stocks," Staff Report 173, Federal Reserve Bank of Minneapolis. [Downloadable!]
- Boyd, John H & Jagannathan, Ravi, 1994. "Ex-dividend Price Behavior of Common Stocks," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(4), pages 711-41. [Downloadable!] (restricted)
Frank, Murray & Jagannathan, Ravi, 1998. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Journal of Financial Economics, Elsevier, vol. 47(2), pages 161-188, February. [Downloadable!] (restricted)
Other versions:
- 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. [Downloadable!]
Brown, Stephen J. & Warner, Jerold B., 1980. "Measuring security price performance," Journal of Financial Economics, Elsevier, vol. 8(3), pages 205-258, September. [Downloadable!] (restricted)
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Other versions:
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- Bell, Leonie & Jenkinson, Tim, 2001. "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," CEPR Discussion Papers 2946, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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Skinner, David Lynn, 1993. "Twenty-five Years of Tax Law Changes and Investor Response," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 16(1), pages 61-70, Spring.
Michaely, Roni & Murgia, Maurizio, 1995. "The Effect of Tax Heterogeneity on Prices and Volume around the Ex-dividend Day: Evidence from the Milan Stock Exchange," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(2), pages 369-99. [Downloadable!] (restricted)
McDonald, Robert L, 2001. "Cross-Border Investing with Tax Arbitrage: The Case of German Dividend Tax Credits," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 14(3), pages 617-57.
Lakonishok, Josef & Vermaelen, Theo, 1986. "Tax-induced trading around ex-dividend days," Journal of Financial Economics, Elsevier, vol. 16(3), pages 287-319, July. [Downloadable!] (restricted)
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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. [Downloadable!] (restricted)
Other versions:
- James M. Poterba & Lawrence A. Summers, 1984. "New Evidence that Taxes Affect the Valuation of Dividends," Working papers 338, Massachusetts Institute of Technology (MIT), Department of Economics.
- James M. Poterba & Lawrence H. Summers, 1985. "New Evidence that Taxes Affect the Valuation of Dividends," NBER Working Papers 1288, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

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