Taxes and microstructure constraints are often cited as possible explanations for why stock prices drop by less than 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...

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...

This paper examines the impact of the German 2001 tax reform, where Germany switched from a full imputation system to a classical system. Theory suggests that both price drop ratios and trading volume decrease following the reform. We document a signi cant reduction in the valuation of net...

Ex-dividend date stock prices have usually been found to be smaller than the amount of dividends, and this has generally been attributed to the differential taxation of dividends and capital gains. This study examines the price drop to dividend relationship on the Istanbul Stock Exchange, which...

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...

We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors' implicit valuations of retained earnings versus paid-in equity. Retained earnings are distributable as taxable dividends, whereas paid-in equity is distributable as a tax-free return of...

We examine the hypothesis that dividend taxes are capitalized into share prices by focusing on investors' implicit valuations of retained earnings versus paid-in equity. Retained earnings are distributable as taxable dividends, whereas paid-in equity is distributable as a tax-free return of...

This paper examines the empirical relation between stock returns and dividend yields. Several equilibrium pricing models incorporating differential taxation of dividends and capital gains are nested as systems of time series regressions. Estimates of these models and tests of parameter...