This paper highlights the role of dividend imputation in influencing cross-border equity flows. We account for the dividend imputation scheme employed by various countries at different periods of time. In this paper it is argued that the heavier is domestic taxation of domestic dividend income,...

This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices drop less than the dividend amount on the ex-day; this market inefficiency is generally attributed to the tax-induced clientele effect and various structural frictions. We show...

We investigate the cross-sectional pattern of stock returns for eight emerging markets using Vector Autoregressive Approach (VAR) to test whether dividend yields can predict stock returns through impulse response characteristics. Our results confirm that dividend yield shocks play an important...

This paper presents data on quantity, capital gains, dividend, and total returns for domestic and overseas equities listed on the London Stock Exchange during 1869-1928. Indices are presented for Africa, Asia, Europe, Latin America, North America, Australia/New Zealand and for the finance,...

Long-term comovements of national stock markets in three EMS (European Monetary System) countries--France, Germany and Italy--are examined. The EMS stock markets are found to display long-term comovements governed by two common permanent components. To identify some interpretable sources of such...

This paper examines the impacts of dividend policy and ownership structure on stock price volatility in the Vietnamese market. The study also tests for the moderating effect of foreign/state ownership on the dividend policy–price volatility relation. The authors use a comprehensive panel...

This paper examines the impacts of dividend policy and ownership structure on stock price volatility in the Vietnamese market. The study also tests for the moderating effect of foreign/state ownership on the dividend policy–price volatility relation. The authors use a comprehensive panel...

This paper examines the ability of dividend yields to predict expected stock returns in the Colombo Stock Exchange in the 1989-1997 period. The results show that dividend yields predict expected returns reliably in return horizons up to three years, except in monthly returns. The predictable...