haku: @author Davidson, I. R. / yhteensä: 6
viite: 2 / 6
| Tekijä: | Davidson, I. R. |
| Otsikko: | Ex-effects: Taxes, transaction costs and the short-term trading hypothesis |
| Lehti: | Journal of Business Finance and Accounting
1991 : APR, VOL. 18:3, p. 345-357 |
| Asiasana: | TAXATION DIVIDENDS COSTS PRICES STATISTICS |
| Kieli: | eng |
| Tiivistelmä: | The influence of taxation and transaction costs on arbitrage possibilities arising from a dividend event is explored. It is shown that for low dividend to price ratios the Elton and Gruber ex-dividend statistics is not uniquely determined, but is subject to boundary values within which no beneficial arbitrage opportunity exists. The data are broadly consistent with the model developed, suggesting that ex-dividend price changes provide unreliable point estimates of investors' tax rates - that is the simple clientele interpretation of ex-dividend value changes is too simplistic, and may be misleading. |
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