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Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach
Chan, Chia-Ying; de Peretti, Christian; Qiao, Zhuo; … - In: Journal of Empirical Finance 19 (2012) 1, pp. 162-174
This paper represents the first attempt to apply a stochastic dominance (SD) approach to examine the efficiency of the UK covered warrants market. Our empirical analyses reveal that neither covered warrants nor their underlying shares stochastically dominate the other, indicating the...
Persistent link: https://www.econbiz.de/10010942981
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Direct evidence of dividend tax clienteles
Dahlquist, Magnus; Robertsson, Göran; Rydqvist, Kristian - In: Journal of Empirical Finance 28 (2014) C, pp. 1-12
The paper is the first to evaluate the dividend tax clientele hypothesis using a data set of all domestic stock … portfolios in the market. We find that investment funds that face a higher effective tax rate on dividend income than on capital … gains tilt their portfolios away from dividend-paying stocks. These investors consequently earn a dividend yield that is …
Persistent link: https://www.econbiz.de/10011042105