 Evidence of ex-dividend trading by investor tax categoryKarl Felixson () and Eva Liljeblom The European Journal of Finance, 2008, vol. 14, issue 1, 1-21 Abstract: This paper investigates the identity of the ex-dividend date traders using the Finnish unique database that records the trades of all investors on the market. We find evidence of two investor groups trading around the ex-dividend date: domestic non-financial investors doing dividend capturing arbitrage and foreign investors together with domestic financial institutions doing mainly the opposite. We report significant deviations from neutral buy probabilities for these investor groups around the ex-dividend date, deviations that are in line with their taxational characteristics. While a part of the trading can be characterized as dividend clientele trading, we also found arbitrage activity by some investors. Evidence of the arbitrage activity being more severe for high-yield stocks was also found. In terms of tax revenues lost, the economic importance of the short-term arbitrage activity seems to be minor. Keywords: dividends; taxation; foreign owners (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:eurjfi:v:14:y:2008:i:1:p:1-21 Ordering information: This journal article can be ordered from DOI: 10.1080/13518470701773460 Access Statistics for this article The European Journal of Finance is currently edited by Chris Adcock More articles in The European Journal of Finance from Taylor & Francis Journals |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.