Can Firm‐Specific Dividend Drop‐Off Ratios Be Used to Infer Shareholder Marginal Tax Rates?

Andrew Ainsworth, Adrian D. Lee, T. Walter
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Abstract

In a seminal study, Elton and Gruber (1970) argue that ex‐dividend day pricing can be used to infer marginal tax rates of shareholders. We examine ex‐dividend day pricing for individual firms and ask whether their CFOs could use the history of a firm's ex‐dividend price‐drop ratios to infer reasonable estimates of shareholders’ marginal tax rates. We use TAQ data for 1,124 US firms that have at least 30 ex‐dividend days during the period August 1993 to October 2012. Our results show that ex‐dividend day pricing is so noisy as to prohibit sensible estimates of shareholders’ marginal tax rates.
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公司特定股息下降率可以用来推断股东边际税率吗?
在一项开创性的研究中,埃尔顿和格鲁伯(1970)认为,股息日定价可以用来推断股东的边际税率。我们研究了个别公司的前股息日定价,并询问他们的首席财务官是否可以使用公司前股息价格下跌率的历史来推断股东的合理估计。边际税率。我们使用了1,124家美国公司的TAQ数据,这些公司在1993年8月至2012年10月期间至少有30个前股息日。我们的研究结果表明,股息日定价是如此嘈杂,以至于禁止对股东进行明智的估计。边际税率。
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