Journal of Finance Vol. 46 No. 3 1991
Ex-Dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act.
Abstract
This paper analyzes the behavior of stock prices around ex-dividend days after the implementation of the 1986 Tax Reform Act that dramatically reduced the difference between the tax treatment of realized long-term capital gains and dividend income in 1987 and completely eliminated the differential in 1988. The author shows that this tax change had no effect on the ex-dividend stock price behavior, which is consistent with the hypothesis that long-term individual investors have no significant effect on ex-day stock prices during this time period. The results indicate that the activity of short-term traders and corporate traders dominates the price determination on the ex-day.
- Volume
- 46
- Issue
- 3
- Pages
- 845-59
- Sources
- bibtex:phds-export.bib