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 …

values of returns, dividend growth, the dividend-price ratio, and all Campbell-Shiller-style regression results involving …

empirical practice of omitting dividend growth from the system amounts to imposing the extra restriction that dividend growth is … not persistent. We highlight that persistence in dividend growth induces a previously overlooked channel for return … predictability, which we label "dividend momentum." Compared to estimation based on ordinary least squares, our restricted …