Can firm-specific dividend drop-off ratios be used to infer shareholder marginal tax rates?

Ainsworth, A; Lee, AD; Walter, T

Can firm-specific dividend drop-off ratios be used to infer shareholder marginal tax rates?

Ainsworth, A Lee, AD

Walter, T

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Publication Type:: Journal Article
Citation:: Accounting and Finance, 2020, 60 (1), pp. 507 - 534
Issue Date:: 2020-03-01

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Field	Value	Language
dc.contributor.author	Ainsworth, A	en_US
dc.contributor.author	Lee, AD https://orcid.org/0000-0001-5984-8688	en_US
dc.contributor.author	Walter, T	en_US
dc.date.issued	2020-03-01	en_US
dc.identifier.citation	Accounting and Finance, 2020, 60 (1), pp. 507 - 534	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/139311
dc.description.abstract	© 2018 AFAANZ In a seminal study, Elton and Gruber (1970) argue that ex-dividend day pricing can be used to infer marginal tax rates of shareholders. We examine ex-dividend day pricing for individual firms and ask whether their CFOs could use the history of a firm's ex-dividend price-drop ratios to infer reasonable estimates of shareholders’ marginal tax rates. We use TAQ data for 1,124 US firms that have at least 30 ex-dividend days during the period August 1993 to October 2012. Our results show that ex-dividend day pricing is so noisy as to prohibit sensible estimates of shareholders’ marginal tax rates.	en_US
dc.relation.ispartof	Accounting and Finance	en_US
dc.relation.isbasedon	10.1111/acfi.12322	en_US
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject.classification	Accounting	en_US
dc.title	Can firm-specific dividend drop-off ratios be used to infer shareholder marginal tax rates?	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	60	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access	*
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	60	en_US

Abstract:

© 2018 AFAANZ In a seminal study, Elton and Gruber (1970) argue that ex-dividend day pricing can be used to infer marginal tax rates of shareholders. We examine ex-dividend day pricing for individual firms and ask whether their CFOs could use the history of a firm's ex-dividend price-drop ratios to infer reasonable estimates of shareholders’ marginal tax rates. We use TAQ data for 1,124 US firms that have at least 30 ex-dividend days during the period August 1993 to October 2012. Our results show that ex-dividend day pricing is so noisy as to prohibit sensible estimates of shareholders’ marginal tax rates.

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http://hdl.handle.net/10453/139311