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

Sven-Olov Daunfeldt ()

No 585, Umeå Economic Studies from Umeå University, Department of Economics

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.

Keywords: ex-dividend; capital gains; taxation; event study. (search for similar items in EconPapers)
JEL-codes: G12 G14 G35 H24 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-pbe
Date: 2002-02-21
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