This study re-examines the impact of the differential taxation of dividends and capital gains on assets’ prices. Our analysis shows that the time horizon used to define and measure the dividend period is a key issue when interpreting the empirical results. Our results indicate that most of the return variation previously attributed to dividends is not because of a cross-sectional variation in returns, but due to the time-series variation in returns around the dividend payment. In light of the lack of cross-sectional return variation, interpreting the higher return around the dividend distribution as a tax effect is problematic.
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Article provided by Financial Management Association in its journal Financial Management.
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Bernhardt, Dan & Robertson, Fiona J., 1993.
"Testing Dividend Signalling Models,"
Working Papers
828, California Institute of Technology, Division of the Humanities and Social Sciences.
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