https://scholars.lib.ntu.edu.tw/handle/123456789/414563
標題: | Tax reform and the identity of marginal traders around ex-dividend days | 作者: | Tseng, Yun lan SHING-YANG HU |
關鍵字: | Arbitrage | Ex-dividend day | Marginal trader | Tax reform | 公開日期: | 1-一月-2013 | 出版社: | ELSEVIER SCIENCE BV | 卷: | 25 | 起(迄)頁: | 181 | 來源出版物: | Pacific Basin Finance Journal | 摘要: | In 1998, Taiwan changed the computation of dividend income for domestic investors. This tax reform offers a natural experiment to explore the relation between taxes and investor behavior around ex-dividend days. We find that the 1998 tax reform reduces the ex-date return and changes the identity of marginal traders on the ex-dividend day. While large and small individual investors functioned as marginal traders before the reform, large individual investors and foreign investors play the role after the reform. We also find that all types of domestic investors engage in arbitrage around ex-dividend days prior to the tax reform, whereas following the tax reform, domestic investors and foreigners act as short-term arbitrageurs surrounding the ex-date. Overall, our findings strongly support the dynamic dividend clientele theories. © 2013 Elsevier B.V. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414563 | ISSN: | 0927538X | DOI: | https://api.elsevier.com/content/abstract/scopus_id/84884773213 10.1016/j.pacfin.2013.08.009 |
顯示於: | 財務金融學系 |
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