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

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  • Daunfeldt, Sven-Olov

    () (The Swedish Retail Institute (HUI))

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

  • Daunfeldt, Sven-Olov, 2005. "Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden," HUI Working Papers 3, HUI Research.
  • Handle: RePEc:hhs:huiwps:0003
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    References listed on IDEAS

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    More about this item

    Keywords

    Taxation; trading; ex-dividend prices;

    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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