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.

引用

页码：507 / 534

页数：28

共 37 条

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