Journal of Banking & Finance Vol. 32 No. 11 2008
Ex-dividend returns: The Mexican puzzle
Abstract
We study ex-dividend returns in Mexico, where an imputation system entitles individual investors to a net dividend tax credit. Based on taxation, we expect ex-day abnormal returns to be negative or at most zero in Mexico. However, they are significantly positive. Because ex-day returns are positive even for stocks restricted to Mexican nationals, they are not attributable to foreign stockholders’ tax considerations. None of the market microstructure-based hypothesis in the literature can explain these positive ex-day returns. Ex-day returns in Mexico are a puzzle.
- DOI
- 10.1016/j.jbankfin.2008.05.001
- Volume
- 32
- Issue
- 11
- Pages
- 2453-2461
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref