Tax - Induced Trading of Equity Securities : Evidence From The ADR Market  

Oleh:

Barry, Christopher B. ; Callaghan, Sandra Renfro

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 4 (2003), page 1583-1612.
Topik: MARKETS; american depositary receipts; securities markets; dividends; with holding taxes; many countries; mathematical models; studies
Fulltext: p 1583.pdf (222.36KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We examine ex - dividend date trading of American Depositary Receipts (ADRs) using a sample of 1,1043 dividends over the period 1988 to 1995. ADR dividends are often subject to foreign withholding taxes, creating incentives for certain investors to avoid the distribution. ADRs exhibit negative abnormal ex - dividend day returns, and their prices behave consistently with their related withholding taxes. Abnormal trading volume is an increasing function of foreign withholding tax rates and decreasing functions of foreign withholding tax rates and decreasing function of transaction costs. This abnormal ex-date trading activity is consistent with tax - motivated trading.

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