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

Author

Listed:
  • 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.

Suggested Citation

  • Daunfeldt, Sven-Olov, 2002. "Tax Policy Changes and Ex-dividend Behavior: The Case of Sweden," Umeå Economic Studies 585, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0585
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    File URL: http://www.econ.umu.se/DownloadAsset.action?contentId=73661&languageId=3&assetKey=ues585
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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, Springer;International Atlantic Economic Society, vol. 36(1), pages 15-30, March.

    More about this item

    Keywords

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

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy
    • H24 - Public Economics - - Taxation, Subsidies, and Revenue - - - Personal Income and Other Nonbusiness Taxes and Subsidies

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