Mutual funds are held by investors in taxable and tax-qualified retirement accounts. We investigate whether the characteristics, investment strategies, and performance of mutual funds held by these diverse tax clienteles differ. Examining both mutual fund distributions and mutual fund holdings,...

The distributions of Real Estate Investment Trusts (REITs) are comprised of components that differ in how they are taxed to the recipient shareholders. This variation in tax characteristics enables us to study the effect of shareholder taxes on stock prices around ex-dividend days while avoiding...

We estimate firms' implied cost of capital and examine the effects of dividend taxes on this ex ante measure. The results support the dividend tax capitalization hypothesis. We find a positive relation between implied cost of equity capital and dividend yield that is decreasing in aggregate...

REIT dividends can be divided into three components based on how they are taxed to the recipient shareholders: ordinary income, long-term capital gains, and return of capital. This variation in tax characteristics enables us to examine the cross-sectional pricing of dividends on the ex-days....

The IDW (Institut der Wirtschaftspruuml;fer in Deutschland) proposes to derive the cost of capital, that are required for valuation with the DCF-approach, by using the Tax-CAPM. The original version of the model assumes deterministic dividends. To valuate stochastic cash-flows however, a...

We investigate the effect of shareholder taxes on expected stock returns using a model that characterizes both the optimal portfolios of taxable and tax-exempt investors and the expected rates of return on risky stocks. When all income is taxed at the same effective rate, each investor's...

I test whether and how shareholder income taxes affect the market response to dividend surprises. Under the US tax system, dividends are historically taxed at a higher rate than capital gains and thus receive a tax-related penalty. I provide evidence that the dividend tax penalty partially...

I examine whether institutions and individuals react to ex-dividend events and how their reactions impact ex-day excess return. I infer trader identities from trade size, based on the assumption that institutions initiate large trades while individuals initiate small trades. I find that while...

This paper investigates for the identity of the ex-dividend date traders using the Finnish unique database that records the trades of all investors on the market. We find evidence of two investor groups trading around the ex-dividend date: domestic non-financial investors doing dividend...

We examine a type of distribution that is taxed as a capital gain rather than as a dividend. Since the distribution induces a realized capital gain while the price change on the ex-distribution day is an unrealized gain, ex-day return behavior provides evidence of the value of tax-timing capital...