The Effect of Tax Heterogeneity on Prices and Volume around the Ex-Dividend Day: Evidence from the Milan Stock Exchange
利用意大利股市两类股票股息税率不同的情况，研究发现投资者平均税率反映在除息日股价中，而税率差异则反映在交易量上；交易成本越高，除息日超额收益越高、异常交易量越低。
To investigate the effect of taxation on stock price and trading volume around the ex-dividend day, we use the Italian stock market, where dividends on two classes of stock are taxed differently. We find that the weighted average of investors' tax rates is reflected in the ex-day prices and the variance of the relative tax rate across investors is reflected in the volume of trades. We also show that higher transaction costs result in higher ex-dividend day excess returns and lower abnormal volume. This finding is consistent with ''profit elimination'' activity by institutions and corporations.