Following trading hours on October 1, 2015, Nordstrom Inc. (symbol: JWN) announced that it would pay a special dividend of $4.85 per share on the ex-dividend date of October 7, 2015. The purpose of this question is to examine the price reaction on the announcement date and ex-dividend date.

1. Download daily price data for JWN from Yahoo! Finance for the period September 15, 2015 to October 15, 2015. Graph the price series (use closing price, not adjusted closing price) and highlight the day the special dividend was announced and the ex-dividend day.

2. In a frictionless environment with no information asymmetries, there should be no price change immediately following a dividend announcement. Looking at the data from part (a), what is the price change from the close of the announcement day (the closing price) to the open of the following day (the opening price)? Why do you think the price change is different from zero?

3. What is the price change from the close of the day preceding the ex-dividend date to the open of the ex-dividend date? Calculate the effective dividend tax rate implied by this price change and the dividend per share.

4. The top marginal tax rates in 2015 for dividends and capital gains were both 20 percent, which means that the actual effective dividend tax rate is zero. Why do you think the implied effective dividend tax rate in part (c) is different from zero?