Scandinavian Working Papers in Economics
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No 3:
Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden

Sven-Olov Daunfeldt ()

Abstract: Changes in the Swedish tax code during the 1990s were structured in a way that offers an opportunity to test whether ex-dividend prices were determined by the taxation of domestic individual investors. The results presented in this paper indicate that ex-dividend prices were not influenced by the relatively large tax changes for domestic individual investors. In addition, there was no evidence that the taxation of domestic individual investors influenced ex-dividend prices for any specific dividend yield group.

Keywords: Taxation; trading; ex-dividend prices; (follow links to similar papers)

JEL-Codes: G11; G18; (follow links to similar papers)

27 pages, December 5, 2005

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This paper is published as:
Daunfeldt, Sven-Olov, (2009), 'Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden', Applied Economics Letters, Vol. 16, pages 679-681

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