Stock Market Behavior on Ex-Dividend Dates: The Case of Cum-Ex Transactions in Germany

Carolin Holzmann, Hendrik Scholz, Felix Kreidl and Thiess Büttner

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: The paper explores the effect of cum-ex trading on the stock market on ex-dividend days. A loophole in the German withholding tax system until 2011 enabled cum-ex traders to achieve the issuance of cash-equivalent withholding-tax certificates without previous tax payment. The paper discusses the implications for the capital market equilibrium and derives empirical predictions for stock market behavior. The results indicate a major impact of the loophole on the capital market and trading volumes.

JEL-codes: G12 H25 H26 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168242

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