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THE EFFECT OF THE 1986 TAX REFORM ACT ON EX‐DIVIDEND DAY RETURN BEHAVIOR
Author(s) -
Han Ki C.
Publication year - 1994
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1994.tb00184.x
Subject(s) - economics , dividend , tax reform act , monetary economics , dividend tax , stock (firearms) , financial economics , business , tax reform , finance , state income tax , gross income , public economics , engineering , mechanical engineering
In this study I examine whether the Tax Reform Act of 1986 has an effect on ex‐date stock return behavior. Results indicate that the tax reform has a significant effect on ex‐date returns for NASDAQ stocks, but not for NYSE/AMEX stocks. Further analysis suggests that the ex‐date returns on NASDAQ stocks are primarily determined by the tax premium. However, the ex‐date returns on NYSE/AMEX stocks are more influenced by short‐term trading.