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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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  • Jack Francis & Tsing Wu & Nan-Ting Kuo, 2012. "Effects of tax reform on drop-off ratios and on the ex-dividend and ex-right prices," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 147-164, August.
    • Handle: RePEc:kap:rqfnac:v:39:y:2012:i:2:p:147-164
    DOI: 10.1007/s11156-011-0246-z
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    References listed on IDEAS

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    1. Lasfer, M Ameziane, 1995. "Ex-day Behavior: Tax or Short-Term Trading Effects," Journal of Finance, American Finance Association, vol. 50(3), pages 875-897, July.
    2. 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.
    3. 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, June.
    4. 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 457-476, June.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. 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.
    7. 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 845-859, July.
    8. Edwin J. Elton & Martin J. Gruber & Christopher R. Blake, 2005. "Marginal Stockholder Tax Effects and Ex-Dividend-Day Price Behavior: Evidence From Taxable Versus Nontaxable Closed-End Funds," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 579-586, August.
    9. Bhavish Jugurnath & Mark Stewart & Robert Brooks, 2008. "Dividend taxation and corporate investment: a comparative study between the classical system and imputation system of dividend taxation in the United States and Australia," Review of Quantitative Finance and Accounting, Springer, vol. 31(2), pages 209-224, August.
    10. 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.
    11. 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.
    12. Robin K. Chou & Wan-Chen Lee & Sheng-Syan Chen, 2005. "The Market Reaction Around Ex-Dates of Stock Splits Before and After Decimalization," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 201-216.
    13. 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 1059-1070, September.
    14. 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.
    15. 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 411-411.
    16. Lakonishok, Josef & Vermaelen, Theo, 1983. "Tax Reform and Ex-Dividend Day Behavior," Journal of Finance, American Finance Association, vol. 38(4), pages 1157-1179, September.
    17. 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.
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    Cited by:

    1. Ming-Chang Cheng & Ching-Hwa Lee, 2016. "Trading Activities Around Ex-Dividend Days: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-17, March.
    2. Nan-Ting Kuo, 2013. "Dividend tax signaling and the pricing of future earnings: a case of taxable stock dividends," Review of Quantitative Finance and Accounting, Springer, vol. 40(3), pages 539-570, April.
    3. 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.
    4. Keith Jakob & Ryan Whitby, 2017. "The impact of nominal stock price on ex-dividend price responses," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 939-953, May.

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    More about this item

    Keywords

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

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
    • H20 - Public Economics - - Taxation, Subsidies, and Revenue - - - General

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