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- [1] Effects of tax reform on drop-off ratios and on the ex-dividend and ex-right pricesReview of Quantitative Finance and Accounting, 2012, 39 (2) : 147 - 164Francis J.C.Wu T.Z.C.Kuo N.-T.
Can firm-specific dividend drop-off ratios be used to infer shareholder marginal tax rates?
被引：0
|作者：
Ainsworth, Andrew
[1
]
Lee, Adrian D.
[2
]
Walter, Terry
[3
]
机构：
[1] Univ Sydney, Sch Business, Sydney, NSW, Australia
[2] Univ Technol, UTS Business Sch, Ultimo, NSW, Australia
[3] Univ Wollongong, Sch Accounting Econ & Finance, Sch Business, Wollongong, NSW, Australia
来源：
关键词：
Firm-specific ex-dividend day pricing;
Taxes;
Transaction costs;
STOCK-PRICE BEHAVIOR;
EX;
VALUATION;
VOLUME;
REFORM;
DISCRETENESS;
TAXATION;
RETURNS;
MARKETS;
IMPACT;
D O I：
10.1111/acfi.12322
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In a seminal study, Elton and Gruber (1970) argue that ex-dividend day pricing can be used to infer marginal tax rates of shareholders. We examine ex-dividend day pricing for individual firms and ask whether their CFOs could use the history of a firm's ex-dividend price-drop ratios to infer reasonable estimates of shareholders' marginal tax rates. We use TAQ data for 1,124 US firms that have at least 30 ex-dividend days during the period August 1993 to October 2012. Our results show that ex-dividend day pricing is so noisy as to prohibit sensible estimates of shareholders' marginal tax rates.
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页码：507 / 534
页数：28
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