Article ID Journal Published Year Pages File Type
5091129 Journal of Banking & Finance 2008 9 Pages PDF
Abstract
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 positive even for stocks restricted to Mexican nationals, they are not attributable to foreign stockholders' tax considerations. None of the market microstructure-based hypothesis in the literature can explain these positive ex-day returns. Ex-day returns in Mexico are a puzzle.
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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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