Payout Policy Tax Clienteles, Ex‐dividend Day Stock Prices and Trading Behavior in Germany: The Case of the 2001 Tax Reform
研究了德国2001年税改（从完全归集制转为古典制）对除息日股价和交易行为的影响，发现净股息估值下降、高股息股票更明显，且高交易量持续存在。
Abstract This paper examines the impact of the German 2001 tax reform, where Germany switched from a full imputation system to a classical system. Theory suggests that both price drop ratios and trading volume decrease following the reform. We document a significant reduction in the valuation of net dividends–in particular for high dividend yield stocks–and weakening payout policy tax clienteles. Ex‐dividend day returns are likely to be driven by short‐term traders. Though the reform removed incentives for cross‐border dividend stripping and reduced tax heterogeneity among investors, we show that the high trading volume around ex‐dividend days persists.