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The Impact of the 1986 Tax Reform on Ex-Dividend Day Volume and Price Behavior

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  • Wu, Chunchi
  • Hsu, Junming

Abstract

Examines the impact of income tax rates on stock price and trading volume by analyzing the behavior of ex-dividend day premiums before and after TRA '86.

Suggested Citation

  • Wu, Chunchi & Hsu, Junming, 1996. "The Impact of the 1986 Tax Reform on Ex-Dividend Day Volume and Price Behavior," National Tax Journal, National Tax Association;National Tax Journal, vol. 49(2), pages 177-192, June.
  • Handle: RePEc:ntj:journl:v:49:y:1996:i:2:p:177-92
    DOI: 10.1086/NTJ41789196
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    References listed on IDEAS

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    1. Karpoff, Jonathan M. & Walkling, Ralph A., 1990. "Dividend capture in NASDAQ stocks," Journal of Financial Economics, Elsevier, vol. 28(1-2), pages 39-65.
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    3. 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.
    4. 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.
    5. Poterba, James M., 1987. "How burdensome are capital gains taxes?: Evidence from the United States," Journal of Public Economics, Elsevier, vol. 33(2), pages 157-172, July.
    6. Alan J. Auerbach, 1979. "Wealth Maximization and the Cost of Capital," The Quarterly Journal of Economics, Oxford University Press, vol. 93(3), pages 433-446.
    7. Kao, Chihwa & Wu, Chunchi, 1994. "Rational Expectations, Information Signalling and Dividend Adjustment to Permanent Earnings," The Review of Economics and Statistics, MIT Press, vol. 76(3), pages 490-502, August.
    8. Michaely, Roni & Vila, Jean-Luc, 1995. "Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(2), pages 171-198, June.
    9. Auerbach, Alan J., 1979. "Share valuation and corporate equity policy," Journal of Public Economics, Elsevier, vol. 11(3), pages 291-305, June.
    10. David C. Heath & Robert A. Jarrow, 2008. "Ex-Dividend Stock Price Behavior and Arbitrage Opportunities," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 3, pages 47-60, World Scientific Publishing Co. Pte. Ltd..
    11. Grammatikos, Theoharry, 1989. "Dividend Stripping, Risk Exposure, and the Effect of the 1984 Tax Reform Act on the Ex-dividend Day Behavior," The Journal of Business, University of Chicago Press, vol. 62(2), pages 157-173, April.
    12. Henderson, Yolanda K., 1990. "Capital Gains Tax Rates and Stock Market Volume," National Tax Journal, National Tax Association;National Tax Journal, vol. 43(4), pages 411-425, December.
    13. Henderson, Yolanda K., 1990. "Capital Gains Tax Rates and Stock Market Volume," National Tax Journal, National Tax Association, vol. 43(4), pages 411-25, December.
    14. Eades, Kenneth M & Hess, Patrick J & Kim, E Han, 1994. "Time-Series Variation in Dividend Pricing," Journal of Finance, American Finance Association, vol. 49(5), pages 1617-1638, December.
    15. Kao, Chihwa & Wu, Chunchi, 1994. "Tests of Dividend Signaling Using the Marsh-Merton Model: A Generalized Friction Approach," The Journal of Business, University of Chicago Press, vol. 67(1), pages 45-68, January.
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