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 …

This study investigates the informational effect of stock liquidity on dividend payouts. Using a sam- ple of Polish … listed companies during 2000 - 2012, I do not find a relation between stock liquidi- ty and dividend payouts. This result is … find that the relation between stock liquidity and dividend payouts is more pronounced when the information environment is …

I study the causal effects of personal investment taxes on stock demand, stock returns, and the dividend policy of …-market of the London Stock Exchange, to be held in a capital gains and dividend tax-exempt investment account for the first time …

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 …

-run mean of the aggregate dividend-price ratio, most notably since the 1970s. Adjusting the dividend–price ratio for such … changes resolves several issues with respect to the predictability of stock market returns: The adjusted dividend-price ratio …

stock return volatilities, and without a stable cash dividend policy, stock return volatilities may unrelated to the …

We document an asset-pricing anomaly whereby companies have positive abnormal returns in months when a dividend is … predicted. Abnormal returns in predicted dividend months are high relative to other companies, and relative to dividend …-paying companies in months without a predicted dividend, making risk-based explanations unlikely. The anomaly is as large as the value …

This paper examines investors' reactions to dividend reductions or omissions conditional on past earnings and dividend … reaction for firms with long patterns of past earnings and dividend payouts is significantly more negative than for firms with …. First, consistent with DeAngelo, DeAngelo, and Skinner (1992), a loss following a long stream of earnings and dividend …

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 … statistically significant in the determination of the ex-dividend day price anomaly, indicating that trading restrictions can …