Scandinavian Working Papers in Economics

HUI Working Papers,
HUI Research

No 3: Tax-Induced Trading and the Identity of the Marginal Investor: Evidence from Sweden

Sven-Olov Daunfeldt ()
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Sven-Olov Daunfeldt: The Swedish Retail Institute (HUI), Postal: Regeringsgatan 60, SE-103 29 Stockholm, Sweden; and the Department of Economics , University of Gävle, SE-801 76 Gävle, Sweden

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

JEL-codes: G11; G18

27 pages, December 5, 2005

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