Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958671 | Journal of Empirical Finance | 2009 | 15 Pages |
Abstract
We estimate the costly-arbitrage model of Boyd and Jagannathan [Boyd, John, and Jagannathan, Ravi, 1994, Ex-Dividend Price Behavior of Common Stocks, Review of Financial Studies 7, 711–741.] using Norwegian stock market data. Taxable distributions take place at two separate dates, one that entails the distribution of an imputation-tax credit and another the distribution of the cash dividend. We find that the costly-arbitrage model is consistent with observed stock returns around the ex-dividend day, but the model cannot explain the return patterns around the distribution of the tax credit. We conclude that uncertainty about the cash flows prevents arbitrage.
Related Topics
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Authors
Qinglei Dai, Kristian Rydqvist,