Frank and Jagannathan (1998) compare ex-dividend drop in share price to the dividend paid in a tax-free environment and …'s closing price on the cum-dividend day to the ex-dividend day of, usually, up to 3 days, a proxy is used to account for changes … in the stock price unrelated to the dividend payment. An equilibrium model such as the capital asset pricing model is …

"We test the hypothesis that the 2003 dividend tax cut boosted U.S. stock prices and thus lowered the cost of equity …-sectional response of prices on high-dividend versus low-dividend paying stocks. We do not find any imprint of the dividend tax cut news … on the value of the aggregate U.S. stock market. On the other hand, high-dividend stocks outperformed low-dividend stocks …

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