Cum-Ex Trading – The Biggest Fraud in History?

Moritz Wagner () and Xiaopeng Wei ()
Additional contact information
Xiaopeng Wei: University of Canterbury, https://www.canterbury.ac.nz

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

Abstract: In this paper, we analyse the extent of cum-ex trading in European markets. Based on abnormal trading volume, the estimated total tax loss due to illicit tax refunds of withholding tax on dividends amounts to approximately €10bn. We find that cum-ex trading is positively correlated with dividend yield, which is consistent with maximising returns from this strategy. Our results are robust, controlling for confounding effects and investors’ tax heterogeneity. Relatively modest changes of how withholding taxes are administered help to prevent cum-ex trading. However, panel regressions indicate that it may still persist in some countries.

Keywords: Tax fraud; tax trading; cum-ex trading; dividend arbitrage; dividend stripping; abnormal trading volume (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 H26 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2020-09-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://repec.canterbury.ac.nz/cbt/econwp/2019.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:20/19

Access Statistics for this paper

More papers in Working Papers in Economics from University of Canterbury, Department of Economics and Finance Private Bag 4800, Christchurch, New Zealand. Contact information at EDIRC.
Bibliographic data for series maintained by Albert Yee ().