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Tax Policy Changes and Ex-dividend Behavior: The Case of Sweden

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Author Info

  • Daunfeldt, Sven-Olov

    ()
    (Department of Economics, Umeå University)

Abstract

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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File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=73661&languageId=3&assetKey=ues585
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Bibliographic Info

Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 585.

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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/
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Related research

Keywords: ex-dividend; capital gains; taxation; event study.;

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Cited by:
  1. Dai, Qinglei & Rydqvist, Kristian, 2007. "Investigation of the Costly-Arbitrage Model of Price Formation Around the Ex-Dividend Day," CEPR Discussion Papers 6074, C.E.P.R. Discussion Papers.
  2. Maria Borges, 2008. "The Ex-Dividend Day Stock Price Behavior: The Case of Portugal," Atlantic Economic Journal, International Atlantic Economic Society, vol. 36(1), pages 15-30, March.

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