Data and Code for: "The Big Short (Interest): Closing the Loopholes in the Dividend-Withholding Tax"

This is the code necessary for replicating the paper "The Big Short (Interest): Closing the Loopholes in the Dividend-Withholding Tax"<br>We study the effect of stricter enforcement of the dividend-withholding tax (DWT). We focus on a 2016 Danish enforcement reform and compare Denmark to its Nordic neighbors. Throughout the Nordic stock markets, shares on loan spike sharply around dividend dates. These spikes are consistent with abuse of the DWT system. Post reform, spikes in Denmark disappear, and annual DWT revenue increases by 130 percent. Enforcement does not harm the investment climate, as measured by Danish stock returns, investment rate, and dividend yield.<br><br>