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：
ACCOUNTING AND FINANCE | 2020年 / 60卷 / 01期
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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