This empirical paper examines the introduction of the integrated tax system in Taiwan on dividend valuation. The Elton & Gruber (Rev. Econ. Stat. 1970) model suggests the ratio of ex-day stock price dropoff to cash dividend per share should reflect the relative tax rates on dividends and capital...

The paper analyzes empirically the impact of switching to Taiwan's new Integrated Tax System in 1998 on the valuation of dividends. The Elton & Gruber [Rev. Econ. Stat. 1970] model is used to analyze the ratio of the ex-day stock price drop-off to the cash dividend per share. After adjusting for...

We analyze ex day dynamics around the May 2003 dividend tax cut in a framework with arbitrageurs as liquidity providers. Raw returns and ratios for all groups do not change significantly around the event, but the volatilities decline significantly. The volume declines more (less) strongly for...