Zhang, Yi; Farrell, Kathleen A.; Brown, Todd A. - In: National Tax Journal 61 (2008) 1, pp. 105-27
We examine the impact of the 2003 dividend tax cut, which removes the differential taxation between dividends and capital gains for individual investors, on the ex–dividend day price and trading volume. We find the ex–dividend day price and volume are affected by taxes, risk, and transaction...