Time-Series Variation in Dividend Pricing
AbstractEx-dividend day returns vary over time. The ex-day returns of high-yield stocks are persistently positive for some time periods and negative for others; in contrast, ex-day returns of low-yield stocks are always positive and less variable. The authors are unable to explain the variation with changes in the tax code but they do find a strong effect for the introduction of negotiated commissions. The authors find evidence that corporate dividend capturing is affecting ex-day returns and confirm the findings of R. H. Gordon and D. F. Bradford (1980) that the price of dividends is countercyclical. Copyright 1994 by American Finance Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 49 (1994)
Issue (Month): 5 (December)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Frank, Murray & Jagannathan, Ravi, 1998.
"Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes,"
Journal of Financial Economics,
Elsevier, vol. 47(2), pages 161-188, February.
- Murray Frank & Ravi Jagannathan, 1997. "Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes," Staff Report 229, Federal Reserve Bank of Minneapolis.
- Rakesh Bali, 2003. "Seasonality in ex dividend day returns," Applied Economics Letters, Taylor and Francis Journals, vol. 10(14), pages 929-932.
- Clemens Sialm, 2006. "Investment Taxes and Equity Returns," NBER Working Papers 12146, National Bureau of Economic Research, Inc.
- Candra Chahyadi & Jesus Salas, 2012. "Not paying dividends? A decomposition of the decline in dividend payers," Journal of Economics and Finance, Springer, vol. 36(2), pages 443-462, April.
- Malcolm Baker & Jeffrey Wurgler, 2004.
"A Catering Theory of Dividends,"
Journal of Finance,
American Finance Association, vol. 59(3), pages 1125-1165, 06.
- VT Alaganar & Graham Partington & Max Stevenson, 1999. "Do Ex-Dividend Drop-Offs Differ Across Markets? Evidence from Internationally Traded (ADR) Stocks," Working Paper Series 92, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Mihir A. Desai & C. Fritz Foley & James R. Hines Jr., 2002. "Dividend Policy inside the Firm," NBER Working Papers 8698, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.