The purpose of the paper is to study how changes in the Swedish tax system have influenced stock prices and trading volumes around the ex-dividend day. The hypothesis that the ex-dividend price ratio is unaffected by the relatively large tax policy changes in Sweden cannot be rejected, and the tax clientele hypothesis is not supported by the data. On the other hand, the results are not all together supportive of the short-term trading hypothesis. For instance, the results do not confirm the predicted and previously documented positive relationship between abnormal volumes and dividend yields.
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Publisher Info
Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number
585.
Length: 23 pages Date of creation: 21 Feb 2002 Date of revision: Handle: RePEc:hhs:umnees:0585
Contact details of provider: Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden Phone: 090 - 786 61 42 Fax: 090 - 77 23 02 Email: Web page: http://www.econ.umu.se/ More information through EDIRC
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