instrument for actual capital gains and dividends payments. We find that unrealized capital gains lead to a marginal propensity … distribution. We also find that households' consumption is significantly more responsive to dividend payouts across all parts of … their consumption with respect to capital gains and dividends income as if they were separate sources of income …

dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend … ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend … growth rates are predictable with R-squared values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend …

theory of dividends, we also find that the excess return for dividend increase announcements went down from 2002 to 2004 …This paper investigates the effects of capital gains and dividend taxes on excess returns around announcements of … dividend increases and ex-dividend days for U.S. corporations. Consistent with standard no-arbitrage conditions, we find that …

and its investment decisions leads to a systematic premium in the firm's share price relative to expected dividends. Noisy … information aggregation leads to excess price volatility, over-valuation of shares in response to good news, and undervaluation in … firm shifts its dividend risk to the upside, which amplifies the overvaluation and explains the premium. Second, we argue …

We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual … dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long …

significant negative market-adjusted return for firms omitting dividends of -11.0%. However, the post dividend omission drift is …Initiations and omissions of dividend payments are important changes in corporate financial policy. This paper …). However, we show that, when we control for the change in the magnitude of dividend yield (which is larger for omissions), the …

We examine abnormal stock returns surrounding contemporaneous earnings and dividend announcements in order to determine … interaction effect.The abnormal return corresponding to any earnings or dividend announcement depends upon the value of the other … more credence to unanticipated dividend increases or decreases when earnings are also above or below expectations, and vice …

This paper examines the empirical relation between stock returns and dividend yields. Several equilibrium pricing … models incorporating differential taxation of dividends and capital gains are nested as systems of time series regressions … dividends are neutral. The inability to distinguish between these competing hypotheses suggests the need for further research …

Dividends seem to be more heavily taxed than capital gains. Why then do corporations pay dividends rather than … shareholders desire dividends sufficiently for nontax reasons to offset the tax effect. In this paper, we measure the relative … valuation of dividends and capital gains in the stock market, using a variant of the capital asset pricing model. We find that …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in …