valuation of DAX futures contracts and test the resulting hypotheses empirically. We find that dividend taxation cannot explain … these deviations. Futures prices are lower in years with higher dividend yields, and prices of the June contract (which is …. Multivariate regressions confirm the finding that dividend taxation affects futures prices. …

substitution hypothesis and the dividend clientele effect: High dividend paying companies have smaller positive price reactions … than non-or lower dividend paying companies. …