Kadapakkam, Palani-Rajan; Martinez, Valeria - In: Journal of Banking & Finance 32 (2008) 11, pp. 2453-2461
We study ex-dividend returns in Mexico, where an imputation system entitles individual investors to a net dividend tax credit. Based on taxation, we expect ex-day abnormal returns to be negative or at most zero in Mexico. However, they are significantly positive. Because ex-day returns are...