the dividend on their ex-dates. Using a sample of REITs, which have no significant correlation between dividend size and … yield, we find that close-to-open ex-dividend price drops are related to dividend size as suggested by the microstructure … models, but close-to-close price drops are related to dividend yield as predicted by the tax theory. These results imply that …

We analyze 987 ex-dividend events in Taiwan stock market between January 1992 and December 2006, and find that … differential taxes really matter for the share prices and investors behaviors around the ex-dividend day. Ex-day price drop ratio … increases with the investors' average preference for dividend relative to capital gains. The excess volume around the ex-dividend …

signi cant reduction in the valuation of net dividends - in particular for high dividend yield stocks - and weakening payout … policy tax clienteles. Ex-dividend day returns are likely to be driven by short-term traders. Though the reform removed … incentives for cross-border dividend stripping and reduced tax heterogeneity among investors, we show that the high trading …

Ex-dividend date stock prices have usually been found to be smaller than the amount of dividends, and this has … dividend relationship on the Istanbul Stock Exchange, which is basically tax-free. The findings provide weak evidence of less …

This study examines the effects of dividend taxation on the primary parties involved in a short sale: the lender of the … stock and the short seller. For stock lenders, dividend taxation is associated with a decrease in the supply of shortable … shares and an increase in equity lending fees around the dividend record date. For short sellers, potential reimbursement …

We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors' implicit …-in equity is distributable as a tax-free return of capital. Consistent with dividend tax capitalization, firm-level results for … addition, differences in dividend tax rates across U.S. tax regimes are associated with predictable differences in the …

We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors' implicit …-in equity is distributable as a tax-free return of capital. Consistent with dividend tax capitalization, firm-level results for … addition, differences in dividend tax rates across U.S. tax regimes are associated with predictable differences in the …

This paper examines the empirical relation between stock returns and dividend yields. Several equilibrium pricing …

fully-franked dividend. This is a problem because a sample of security prices, unfranked dividends and franked dividends … necessarily leads to the simultaneous estimation of the value of a cash dividend and an imputation credit. We measure the value of …

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 …