This paper investigates the effect of liquidity on the ex-dividend day price premium. It is well documented that prices … drop less than the dividend amount on the ex-day; this market inefficiency is generally attributed to the tax … statistically significant in the determination of the ex-dividend day price anomaly, indicating that trading restrictions can …

This paper examines the ability of dividend yields to predict expected stock returns in the Colombo Stock Exchange in … the 1989-1997 period. The results show that dividend yields predict expected returns reliably in return horizons up to … with the return horizon. Dividend yields are able to track expected nominal as well as real returns, both with and without …

taxes on stock prices around ex-dividend days while avoiding the non-tax confounds and inter-temporal tests that have … distributions, we provide evidence that abnormal returns and trading volume around ex-dividend days are driven by the component of … the distributions that is most tax-penalized. Our results support a tax-based explanation for ex-dividend day pricing and …

We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax …-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our … empirical results indicate that ex-date prices decline, on average, by the amount of the dividend. We do not find a significant …

The purpose of this research is to identify how dividend payments affect the U.S. equity market at the sectoral level …. A conventional stock valuation model predicts a positive response of equity price to higher dividend payment. Higher …

The study focus on the advantages and disadvantages of dividend discount model using a market based approach. The study … market based valuation approach rather than forecasting the stock price based on dividend discount models. The study throws … very useful insights into the actual usefulness of dividend discount model by taking the example of CRISIL and TGBL stocks …

) as the ratio of the price change on the ex-day to the dividend amount, we find that the average Nasdaq PDR is …

A widely replicated result, using U.S. data, is that dividend-price ratios predict future returns, not future dividend … economy. To further investigate this question, this paper examines the relation between dividend yields, future returns and … dividend growth using current international data. It is found that in some countries, dividend-price ratios predict future …

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 …

We re-examine dividend growth and return predictability evidence using 165 years of data from the Brussels Stock … Exchange. The conventional wisdom holds that time-varying dividend yield is predominately explained by changes in expected … returns and that expected dividend growth is only weakly forecastable. However, we find robust dividend growth predictability …