Tax Reform and Ex‐Dividend Day Behavior
研究加拿大一项重大税收改革对多伦多证券交易所公司除息日行为的影响，发现价格变化与短期交易活动一致，而非代表性投资者的相对税收。
ABSTRACT This paper investigates the effect of a major Canadian tax reform on the ex‐dividend day behavior of companies on the Toronto Stock Exchange. The results are inconsistent with the hypothesis that price changes on ex‐dividend days reflect the relative taxation of dividends and capital gains for the “representative” investor, but are consistent with the hypothesis that ex‐dividend day price behavior reflects short‐term trading activities.