| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6104 |
| DP6104 Financial Constraints and the Costs and Benefits of Vertical Integration | |
| Rocco Macchiavello | |
| 发表日期 | 2007-02-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We estimate the costly-arbitrage model of Boyd and Jagannathan (1994) 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 relate the difference in price formation to uncertainty. |
| 主题 | Financial Economics |
| 关键词 | Costly-arbitrage model Estimation risk Ex-dividend day Imputation-tax credit Legal risk Withholding tax |
| URL | https://cepr.org/publications/dp6104 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534943 |
| 推荐引用方式 GB/T 7714 | Rocco Macchiavello. DP6104 Financial Constraints and the Costs and Benefits of Vertical Integration. 2007. |
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