We tested how ex-day trading volume is impacted by the reduction in capital gains tax rate to 20% (May 1997) and the move to trading in 6.25¢ price increments (June 1997). We found excess trading volume around the ex-days in the pre- and post-event periods for both high- and low-yield groups. The abnormal volume falls significantly after the move to 6.25¢ for high yields indicating lower liquidity but offers little support for tax clienteles hypothesis.View full textDownload full textRelated var addthis_config = { ui_cobrand: "Taylor & Francis Online", services_compact: "citeulike,netvibes,twitter,technorati,delicious,linkedin,facebook,stumbleupon,digg,google,more", pubid: "ra-4dff56cd6bb1830b" }; Add to shortlist Link Permalink http://dx.doi.org/10.1080/13504851.2010.493136
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