Scandinavian Working Papers in Economics
Umeå Economic Studies,
Umeå University, Department of Economics
No 585: Tax Policy Changes and Ex-dividend Behavior: The Case of Sweden
Sven-Olov Daunfeldt ()
Additional contact information
Sven-Olov Daunfeldt: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Abstract: The purpose of the paper is to study how changes in the Swedish tax system have influenced stock prices and trading volumes around the ex-dividend day. The hypothesis that the ex-dividend price ratio is unaffected by the relatively large tax policy changes in Sweden cannot be rejected, and the tax clientele hypothesis is not supported by the data. On the other hand, the results are not all together supportive of the short-term trading hypothesis. For instance, the results do not confirm the predicted and previously documented positive relationship between abnormal volumes and dividend yields.
Keywords: ex-dividend; capital gains; taxation; event study.
23 pages, February 21, 2002
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