{"title":"公司特定股息下降率可以用来推断股东边际税率吗?","authors":"Andrew Ainsworth, Adrian D. Lee, T. Walter","doi":"10.1111/acfi.12322","DOIUrl":null,"url":null,"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.","PeriodicalId":119398,"journal":{"name":"Political Economy - Development: Fiscal & Monetary Policy eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Can Firm‐Specific Dividend Drop‐Off Ratios Be Used to Infer Shareholder Marginal Tax Rates?\",\"authors\":\"Andrew Ainsworth, Adrian D. Lee, T. Walter\",\"doi\":\"10.1111/acfi.12322\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":119398,\"journal\":{\"name\":\"Political Economy - Development: Fiscal & Monetary Policy eJournal\",\"volume\":\"11 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Political Economy - Development: Fiscal & Monetary Policy eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1111/acfi.12322\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Political Economy - Development: Fiscal & Monetary Policy eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/acfi.12322","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Can Firm‐Specific Dividend Drop‐Off Ratios Be Used to Infer Shareholder Marginal Tax Rates?
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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