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

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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.

Suggested Citation

  • Sven-Olov Daunfeldt, 2007. "Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden," The European Journal of Finance, Taylor & Francis Journals, vol. 13(7), pages 657-667.
  • Handle: RePEc:taf:eurjfi:v:13:y:2007:i:7:p:657-667
    DOI: 10.1080/13518470701380290
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    More about this item

    Keywords

    Ex-dividend; capital gains; taxation; dividend yields;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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