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

Sven-Olov Daunfeldt

The European Journal of Finance, 2007, vol. 13, issue 7, 657-667

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.

Keywords: Ex-dividend; capital gains; taxation; dividend yields (search for similar items in EconPapers)
Date: 2007
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Working Paper: Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden (2005)
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DOI: 10.1080/13518470701380290

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