The effects of taxes on market responses to dividend announcements and payments: what can we learn from the 2003 dividend tax cut?
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2005
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11452 |
| Subjects: | |
| Links: | http://papers.nber.org/papers/w11452.pdf |
| Abstract: | "This paper investigates the effects of capital gains and dividend taxes on excess returns around announcements of dividend increases and ex-dividend days for U.S. corporations. Consistent with standard no-arbitrage conditions, we find that the ex-dividend day premium increased from 2002 to 2004 when the dividend tax rate was cut. Consistent with the signalling theory of dividends, we also find that the excess return for dividend increase announcements went down from 2002 to 2004. However, these findings are very sensitive to the years chosen for the pre-reform control period. Semi-parametric graphical analysis using data since 1962 shows that the relationship between tax rates and ex-day and announcement day premia is very fragile and sensitive to sample period choices. Strong year-to-year fluctuations in the ex-day and announcement day premia greatly reduce statistical power, making it impossible to credibly detect responses even around large tax reforms. The important non-tax factors affecting these premia must therefore be understood before progress can be made in evaluating the role of taxation in market responses"--National Bureau of Economic Research web site. |
| Physical Description: | 23, 8, [5] S. graph. Darst. |
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| indexdate | 2024-12-20T13:23:16Z |
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| spelling | Chetty, Raj 1979- Verfasser (DE-588)128831537 aut The effects of taxes on market responses to dividend announcements and payments what can we learn from the 2003 dividend tax cut? Raj Chetty ; Joseph Rosenberg ; Emmanuel Saez Cambridge, Mass. National Bureau of Economic Research 2005 23, 8, [5] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11452 "This paper investigates the effects of capital gains and dividend taxes on excess returns around announcements of dividend increases and ex-dividend days for U.S. corporations. Consistent with standard no-arbitrage conditions, we find that the ex-dividend day premium increased from 2002 to 2004 when the dividend tax rate was cut. Consistent with the signalling theory of dividends, we also find that the excess return for dividend increase announcements went down from 2002 to 2004. However, these findings are very sensitive to the years chosen for the pre-reform control period. Semi-parametric graphical analysis using data since 1962 shows that the relationship between tax rates and ex-day and announcement day premia is very fragile and sensitive to sample period choices. Strong year-to-year fluctuations in the ex-day and announcement day premia greatly reduce statistical power, making it impossible to credibly detect responses even around large tax reforms. The important non-tax factors affecting these premia must therefore be understood before progress can be made in evaluating the role of taxation in market responses"--National Bureau of Economic Research web site. Steuer Dividends Taxation United States USA Rosenberg, Joseph W. 1978- Verfasser (DE-588)130566527 aut Saez, Emmanuel 1972- Verfasser (DE-588)129251712 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11452 (DE-604)BV002801238 11452 http://papers.nber.org/papers/w11452.pdf kostenfrei Volltext |
| spellingShingle | Chetty, Raj 1979- Rosenberg, Joseph W. 1978- Saez, Emmanuel 1972- The effects of taxes on market responses to dividend announcements and payments what can we learn from the 2003 dividend tax cut? National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Steuer Dividends Taxation United States |
| title | The effects of taxes on market responses to dividend announcements and payments what can we learn from the 2003 dividend tax cut? |
| title_auth | The effects of taxes on market responses to dividend announcements and payments what can we learn from the 2003 dividend tax cut? |
| title_exact_search | The effects of taxes on market responses to dividend announcements and payments what can we learn from the 2003 dividend tax cut? |
| title_full | The effects of taxes on market responses to dividend announcements and payments what can we learn from the 2003 dividend tax cut? Raj Chetty ; Joseph Rosenberg ; Emmanuel Saez |
| title_fullStr | The effects of taxes on market responses to dividend announcements and payments what can we learn from the 2003 dividend tax cut? Raj Chetty ; Joseph Rosenberg ; Emmanuel Saez |
| title_full_unstemmed | The effects of taxes on market responses to dividend announcements and payments what can we learn from the 2003 dividend tax cut? Raj Chetty ; Joseph Rosenberg ; Emmanuel Saez |
| title_short | The effects of taxes on market responses to dividend announcements and payments |
| title_sort | the effects of taxes on market responses to dividend announcements and payments what can we learn from the 2003 dividend tax cut |
| title_sub | what can we learn from the 2003 dividend tax cut? |
| topic | Steuer Dividends Taxation United States |
| topic_facet | Steuer Dividends Taxation United States USA |
| url | http://papers.nber.org/papers/w11452.pdf |
| volume_link | (DE-604)BV002801238 |
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