Applying an event study methodology, and using equity prices for several classes of equity securities listed on Oslo Stock Exchange, this thesis investigate changes in equity security prices in a three day-period surrounding the announcement of a change in the tax regime applicable for dividends received by individual investors. If implemented, the proposal would increase the tax rate on dividends received by individual shareholders from zero to fourteen percent. The hypothesis is that if the after-tax returns to the marginal investor were influenced by this proposal, the required pre-tax rate of return from equity investment would increase and hence cause a reduction in stock prices. In other words, a negative abnormal return on the equity investment would occur during the timeframe surrounding the an-nouncement. Exploring the stock market’s reaction to the proposed reduction in the dividend tax imputation, could indicate whether the assumptions made by economists and policy makers with respect to the identity of the marginal investor in the Norwegian equity market are in fact appropriate. Using stock prices and firm specific information regarding ownership, dividend yield and several control variables from a sample of companies listed on Oslo Stock Exchange, I find regression statistics which indicates that the equity market experienced a negative abnormal return in the range from –2.68 percent to -3.58 percent (depending on proxy used for estimat-ing normal return). The average abnormal return in the defined event period amounted to -3.2 percent. The result seems to be robust with respect to potential statistical pitfalls such as cross-sectional correlation, and across different industry codes.