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On interpreting security returns during the ex-dividend period

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Author Info
Eades, Kenneth M.
Hess, Patrick J.
Kim, E. Han
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File URL: http://www.sciencedirect.com/science/article/B6VBX-45N4M8W-1C/2/7cbee5fe682551657f8f6a1571652ace
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 13 (1984)
Issue (Month): 1 (March)
Pages: 3-34
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Handle: RePEc:eee:jfinec:v:13:y:1984:i:1:p:3-34

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. John H. Boyd & Ravi Jagannathan, 1994. "Ex-dividend price behavior of common stocks," Staff Report 173, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  2. Adelegan, Olatundun, 2006. "Effects of taxes financing decisions and firm value in Nigeria," Proceedings of the German Development Economics Conference, Berlin 2006 1, Verein für Socialpolitik, Research Committee Development Economics. [Downloadable!]
  3. Maria Rosa Borges, 2007. "An Arbitrage Model for the Stock Price Adjustment in the Dividend Period," Working Papers 2007/09, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
  4. Clemens Sialm, 2005. "Tax Changes and Asset Pricing: Time-Series Evidence," NBER Working Papers 11756, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Trevor S. Harris & R. Glenn Hubbard & Deen Kemsley, 1999. "The Share Price Effects of Dividend Taxes and Tax Imputation Credits," NBER Working Papers 7445, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Pasi Sorjonen, 2002. "Ex-Dividend Day Stock Returns and Tick Rules," Discussion Papers 675, The Research Institute of the Finnish Economy. [Downloadable!]
  7. Brian Maris & Fayez Elayan, 1991. "A Test for Tax-Induced Investor Clienteles in Real Estate Investment Trusts," Journal of Real Estate Research, American Real Estate Society, vol. 6(2), pages 169-178. [Downloadable!]
  8. D. Beggs & C.L. Skeels, 2005. "Market Arbitrage of Cash Dividends and Franking Credits," Department of Economics - Working Papers Series 947, The University of Melbourne. [Downloadable!]
    Other versions:
  9. Clemens Sialm, 2006. "Investment Taxes and Equity Returns," NBER Working Papers 12146, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  10. William Hardin & Kartono Liano & Gow-Cheng Huang & Gregory Nagel, 2007. "REITs, Decimalization, and Ex-dividend Stock Prices," The Journal of Real Estate Finance and Economics, Springer, vol. 34(4), pages 499-511, May. [Downloadable!] (restricted)
  11. Randall Morck, 2003. "Why Some Double Taxation Might Make Sense: The Special Case of Inter-corporate Dividends," NBER Working Papers 9651, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Pasi Sorjonen, 2002. "Ex-Dividend Day Stock Price Behavior, Taxes and Discrete Prices; A Simulation Experiment," Discussion Papers 676, The Research Institute of the Finnish Economy. [Downloadable!]
  13. Maria Borges, 2008. "The Ex-Dividend Day Stock Price Behavior: The Case of Portugal," Atlantic Economic Journal, International Atlantic Economic Society, vol. 36(1), pages 15-30, March. [Downloadable!] (restricted)
  14. Pasi Sorjonen, 2002. "Ex-Dividend Day Behavior of Stock Prices in Finland in 1989-90 and 1993-97," Discussion Papers 674, The Research Institute of the Finnish Economy. [Downloadable!]
  15. 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. [Downloadable!]
    Other versions:
  16. Raj Chetty & Joseph Rosenberg & Emmanuel Saez, 2005. "The Effects of Taxes on Market Responses to Dividend Announcements and Payments: What Can we Learn from the 2003 Dividend Tax Cut?," NBER Working Papers 11452, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  17. John B. Shoven, 1986. "New Developments in Corporate Finance and Tax Avoidance: Some Evidence," NBER Working Papers 2091, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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