We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors' implicit …-in equity is distributable as a tax-free return of capital. Consistent with dividend tax capitalization, firm-level results for … addition, differences in dividend tax rates across U.S. tax regimes are associated with predictable differences in the …

We empirically document that stock prices moved inversely with dividend yields during the May, 1997 week, when the … share prices of other firms. Among firms paying dividends, the change in share prices was decreasing in dividend yields. The …

constraint returns help explain returns" following initial public offerings and dividend omissions. We find only limited support …

We propose and implement a new test of the dividend signaling hypothesis that is designed to discriminate between … dividend signaling and other theories that would account for the apparent existence of a dividend preference. Our test refines … the use of data on stock price responses to dividend announcements. In particular, we study the effect of dividend …

fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a … unknown and possibly-changing long-run dividend growth rates. The parameters of the stochastic process followed by dividends … less information about the dividend process. In such a context, it is difficult to see how investors can be faulted for …

This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the … price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected … future dividend growth. Unobserved discount rates needed to make the variance bound and variance decomposition hold are …

between the log dividend-price ratio and mathematical expectations of future log real dividend changes and future real … dividend growth, measured real discount rates and unexplained factors in determining the dividend-price ratio …

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 …

The behavior of stock prices around ex-dividend days has been suggested as evidence for tax-induced clientele effects … examined theoretically and empirically. Theoretically it is shown that the measured price drop per dollar of dividend may … provide a biased estimate of the effective tax rate. Looking at the volume of trade around ex-dividend days we show that the …