Tid: 12 december 2005 kl 1515-1700

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Professor Magnus Dahlquist, Swedish Institute for Financial Research, SIFR

Titel: Dividend tax clienteles.

Sammanfattning: We study stock portfolios by individual and institutional investors in the Swedish market. The dividend yield on portfolios is systematically related to investors' relative tax preferences for dividends versus capital gains. For example, the yield spread between tax-exempt stock portfolios and taxed investment funds is about 40 basis points. The yield spread between tax portfolios decreases with the number of stocks in the portfolio, which suggests that diversification benefits dominate tax costs in larger portfolios.

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