Due to the overwhelming international evidence that stock prices drop by less than the dividend paid on ex-dividend … days, the ex-dividend day anomaly is considered a stylized fact. Two main approaches have emerged to explain this empirical … explanation for this fact relies on taxes, the ex-dividend day anomaly has been reported even in countries where neither dividends …

The rate of capital gains of the market portfolio is vastly more volatile than the dividend yield. As a result … dividend yield factor and find that this factor carries a significant negative premium in the post-1978 period that coincides … with the persistent decline in the number of US dividend-paying firms. We motivate this finding by proposing a theoretical …