Taxes and Ex-Day Returns: Evidence from UK and Continental Europe

48 Pages Posted: 2 Mar 2007

See all articles by Meziane Lasfer

Meziane Lasfer

Cass Business School, City, University of London

Date Written: March 1, 2007

Abstract

The purpose of the paper is to analyse the tax systems and tax reforms in France, Germany, Italy and UK and test the hypothesis that ex-day returns are related to each country's tax differential between dividends and capital gains. Consistent with the tax hypothesis, the results indicate that in countries where the differential between dividends and capital gains is high (low), ex-day returns are high (low) and changes in the tax systems that affect taxes on dividend and/or capital gains altered significantly ex-day returns. The short-term traders and market macrostructure factors do not have a strong impact on ex-day returns.

Keywords: Income and capital gains taxes in Europe, Ex-day pricing, Short-term trading, market microstructure.

JEL Classification: G12, G35

Suggested Citation

Lasfer, Meziane, Taxes and Ex-Day Returns: Evidence from UK and Continental Europe (March 1, 2007). Available at SSRN: https://ssrn.com/abstract=967268 or http://dx.doi.org/10.2139/ssrn.967268

Meziane Lasfer (Contact Author)

Cass Business School, City, University of London ( email )

106 Bunhill Row
London, EC1Y 8TZ
Great Britain
+44 20 7040 8634 (Phone)
+44 20 7040 8881 (Fax)

HOME PAGE: http://www.cass.city.ac.uk/faculty/m.a.lasfer/

Register to save articles to
your library

Register

Paper statistics

Downloads
201
Abstract Views
984
rank
149,220
PlumX Metrics