Dai, Qinglei; Rydqvist, Kristian - In: Journal of Empirical Finance 16 (2009) 4, pp. 582-596
We estimate the costly-arbitrage model of Boyd and Jagannathan [Boyd, John, and Jagannathan, Ravi, 1994, Ex-Dividend Price Behavior of Common Stocks, Review of Financial Studies 7, 711-741.] using Norwegian stock market data. Taxable distributions take place at two separate dates, one that...
