The Impact of the 1986 Tax Reform Act on Ex-Dividend Day Returns
研究发现1986年税收改革法案使普通投资者的股息和资本利得税率均等化，导致纽约证券交易所和美国证券交易所的除息日异常回报显著下降，但纽约证券交易所高股息收益率股票中短期交易的影响反而增加。
The 1986 Tax Reform Act, by virtue of equalizing the marginal tax rates of dividend and capital gains income for the ordinary investor, is hypothesized to decrease the ex-day abnormal returns, and to reduce the incidence and effects of short-term trading. As predicted, ex-day abnormal returns are found to decline significantly in both the NYSE and the ASE. In contrast, increased effects of short-term trading are found among the high dividend yield quintile stocks of the NYSE.