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 … the ex-dividend day premium increased from 2002 to 2004 when the dividend tax rate was cut. Consistent with the signalling …

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 … the ex-dividend day premium increased from 2002 to 2004 when the dividend tax rate was cut. Consistent with the signalling …

We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax …-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our … empirical results indicate that ex-date prices decline, on average, by the amount of the dividend. We do not find a significant …

of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We … define the modified dividend–price ratio (mdp), as the long run trend deviation between d and p. Using S&P 500 data for the … correlation with the risk free return component, and can discern if a low dividend state coincides with a low yield state …

We empirically test whether the disposition effect has an asymmetrical impact on the price adjustment on the ex-dividend …) selling by holders of winning (losing) stocks will most likely accelerate (restrain) the downward price adjustment on the ex-dividend …

This study examines the impact of the ex-day of stock dividend on stock return and volume on Borsa Istanbul stock … return and volume is seen around the ex-day of stock dividend. The cumulative average excess return over market return starts … following. Our findings show that abnormal return around ex-day is strongly associated with stock dividend pay-out ratio, asset …

I investigate the link between dividend taxes and stock prices in a global setting. Based on findings from an open …-economy after-tax capital asset pricing model, I predict that when the U.S. cut its dividend tax rate in 2003, stock prices will … increase for high-dividend yield foreign firms that are eligible for a U.S. income tax treaty. I examine returns for firms …

We propose a behavioral dividend clientele view to explain a unique “ex-dividend day” anomaly on the Chinese stock … market. In particular, we find that on the ex-dividend day, the average CAPM-adjusted stock return is significantly below … of dividend paying stocks prior to the ex-dividend day and switch to net sellers of on and after the ex-dividend day …

There are two types of stock dividend in the Chinese stock market. This paper examines them in the period of 1997 …-2008. Empirical findings indicate that the stock dividend effect appears twice. The average abnormal return is 0.88% on the stock … dividend proposal date and 0.35% on the stock dividend declaration date. Both these findings are significant. There is an …

There are two types of stock dividend in the Chinese stock market. This paper examines them in the period of 1997 …-2008. Empirical findings indicate that the stock dividend effect appears twice. The average abnormal return is 0.88% on the stock … dividend proposal date and 0.35% on the stock dividend declaration date. Both these findings are significant. There is an …