MARC Record from Library of Congress

LEADER: 02544cam a22003377a 4500
001 2005618369
003 DLC
005 20050707134632.0
007 cr |||||||||||
008 050707s2005 mau sb 000 0 eng
010 $a 2005618369
040 $aDLC$cDLC
043 $an-us---
050 00 $aHB1
100 1 $aChetty, Raj.
245 14 $aThe effects of taxes on market responses to dividend announcements and payments$h[electronic resource] :$bwhat can we learn from the 2003 dividend tax cut? /$cRaj Chetty, Joseph Rosenberg, Emmanuel Saez.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2005.
490 1 $aNBER working paper series ;$vworking paper 11452
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 7/7/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"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.
650 0 $aCorporations$xTaxation$zUnited States.
650 0 $aCapital gains$zUnited States.
650 0 $aDividends$zUnited States.
700 1 $aRosenberg, Joseph A.,$d1958-
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 11452.
856 40 $uhttp://papers.nber.org/papers/W11452