This paper analyzes the ex-dividend day stock price behavior in the Chinese stock market. This market, where dividends could be either taxable or non-taxable, allows us to examine the impact of tax effects while keeping any microstructure factors constant. The findings from non-taxable stocks...

This paper analyzes the ex-dividend day stock price behavior in the Athens Stock Exchange (ASE) over the period 1994-1999. This market is chosen because neither dividends nor capital gains are taxed and the ASE is not associated with the microstructure effects analyzed in prior studies. Our...