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Further evidence from ex-dividend days

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  • Rakesh Bali
  • Jack C. Francis

Abstract

We tested how dividend pricing is impacted by the reduction in capital gains tax rate to 20% (May 1997) and the move to trading in 6.25¢ (June 1997). Price behaviour does not support tax clienteles but is consistent with transaction costs-based explanation. Raw returns, for all groups, are within or close to weak no-arbitrage bounds and are unchanged around these events. We find that taxes may impact investor behaviour but they do not impact marginal dividend pricing.

Suggested Citation

  • Rakesh Bali & Jack C. Francis, 2012. "Further evidence from ex-dividend days," Applied Economics Letters, Taylor & Francis Journals, vol. 19(6), pages 537-540, April.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:6:p:537-540
    DOI: 10.1080/13504851.2011.587763
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    Cited by:

    1. Bali, Rakesh & Francis, Jack Clark, 2016. "Ex day effects of the 2003 dividend tax cut," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 11-22.

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