Stock Market Behavior on Ex-Dividend Dates: The Case of Cum-Ex Transactions in Germany

Konferenzbeitrag

The paper explores the effect of cum-ex trading on the stock market on ex-dividend days. A loophole in the German withholding tax system until 2011 enabled cum-ex traders to achieve the issuance of cash-equivalent withholding-tax certificates without previous tax payment. The paper discusses the implications for the capital market equilibrium and derives empirical predictions for stock market behavior. The results indicate a major impact of the loophole on the capital market and trading volumes.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Asset Pricing ; No. E16-V1

Classification and Topics

• Classification: Wirtschaft ; Business Taxes and Subsidies including sales and value-added (VAT) ; Tax Evasion and Avoidance ; Asset Pricing; Trading Volume; Bond Interest Rates

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Holzmann, Carolin ; Scholz, Hendrik ; Kreidl, Felix ; Büttner, Thiess
• Event: Veröffentlichung
• (who): ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
• (where): Kiel, Hamburg
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/168242
• Last update: 10.03.2025, 11:45 AM CET