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

23 Pages Posted: 27 Feb 2002

See all articles by Sven-Olov Daunfeldt

Sven-Olov Daunfeldt

University of Umea - Department of Economics

Date Written: February 20, 2002

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

JEL Classification: G12, G14, G35, H24

Suggested Citation

Daunfeldt, Sven-Olov, Tax Policy Changes and Ex-Dividend Behavior: The Case of Sweden (February 20, 2002). Available at SSRN: https://ssrn.com/abstract=301293 or http://dx.doi.org/10.2139/ssrn.301293

Sven-Olov Daunfeldt (Contact Author)

University of Umea - Department of Economics ( email )

UmeƄ University
Umea, SE - 90187
Sweden
+46-90-786 99 92 (Phone)
+46-90-772 302 (Fax)

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
518
Abstract Views
3,776
rank
67,578
PlumX Metrics