I test whether and how shareholder income taxes affect the market response to dividend surprises. Under the US tax system, dividends are historically taxed at a higher rate than capital gains and thus receive a tax-related penalty. I provide evidence that the dividend tax penalty partially...

I examine whether institutions and individuals react to ex-dividend events and how their reactions impact ex-day excess return. I infer trader identities from trade size, based on the assumption that institutions initiate large trades while individuals initiate small trades. I find that while...

We examine ex-dividend day stock price behavior before and after the NYSE converted from discrete (1/16ths) to decimal pricing systems in early 2001, as well as the effect of equalizing the federal income tax rates on dividend and long-term capital gain income in May 2003. Prior literature...

We demonstrate how the level of institutional ownership as a measure of tax-induced investor heterogeneity impacts the trading volume effect of dividend yield around ex-dividend days. Cross-sectional tests support the tax-motivated trading hypothesis: 1) Ex-day excess trading volume increases in...

Under the US tax system, dividends are historically taxed at a higher rate than capital gains and thus incur a tax-related penalty. I provide evidence that the dividend tax penalty partially offsets the positive signaling and agency cost effects of dividends for fully taxable individual...

We estimate firm level implied cost of equity capital based on recent advances in accounting and finance research and examine the effect of dividend taxes on the cost of equity capital. We investigate whether dividend taxes affect firms' cost of capital by testing the relation between the...

The purpose of this study is to investigate if and how shareholder level taxes affect earnings response coefficients (ERCs). Our tests indicate that when the tax rate on dividends increases, ERCs decrease for firms with high dividend yield and whose marginal investor is likely to be an...

We find that a firm's dividend yield has a positive impact on its common stock return that is decreasing in the level of institutional and corporate ownership, our indicator of whether the marginal investor in a firm's common stock is more likely to be a low-tax or a high-tax investor. These...

We estimate firms' implied cost of capital and examine the effects of dividend taxes on this ex ante measure. The results support the dividend tax capitalization hypothesis. We find a positive relation between implied cost of equity capital and dividend yield that is decreasing in aggregate...

REIT dividends can be divided into three components based on how they are taxed to the recipient shareholders: ordinary income, long-term capital gains, and return of capital. This variation in tax characteristics enables us to examine the cross-sectional pricing of dividends on the ex-days....