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Dividend Size, Yield, Clienteles and REITs

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  • William Hardin

    ()

  • Gow-Cheng Huang

    ()

  • Kartono Liano

    ()

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    File URL: http://hdl.handle.net/10.1007/s11146-010-9276-x
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    Bibliographic Info

    Article provided by Springer in its journal The Journal of Real Estate Finance and Economics.

    Volume (Year): 45 (2012)
    Issue (Month): 2 (August)
    Pages: 435-449

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    Handle: RePEc:kap:jrefec:v:45:y:2012:i:2:p:435-449

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    Web page: http://www.springerlink.com/link.asp?id=102945

    Related research

    Keywords: Ex-dividend; Tax-induced clientele; REIT; Market microstructure; Limit order; Discreteness; G10; G14;

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Lakonishok, Josef & Vermaelen, Theo, 1983. " Tax Reform and Ex-Dividend Day Behavior," Journal of Finance, American Finance Association, vol. 38(4), pages 1157-79, September.
    2. William G. Hardin III & Kartono Liano & Gow-cheng Huang, 2002. "The Ex-Dividend Pricing of REITs," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 30(4), pages 533-549.
    3. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    4. Jakob, Keith & Ma, Tongshu, 2004. "Tick size, NYSE rule 118, and ex-dividend day stock price behavior," Journal of Financial Economics, Elsevier, vol. 72(3), pages 605-625, June.
    5. Kalay, Avner, 1982. " The Ex-Dividend Pay Behavior of Stock Prices: A Re-Examination of the Clientele Effect," Journal of Finance, American Finance Association, vol. 37(4), pages 1059-70, September.
    6. Kato, Kiyoshi & Loewenstein, Uri, 1995. "The Ex-Dividend-Day Behavior of Stock Prices: The Case of Japan," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 817-47.
    7. David Durand & Alan M. May, 1960. "The Ex‐Dividend Behavior Of American Telephone And Telegraph Stock," Journal of Finance, American Finance Association, vol. 15(1), pages 19-31, 03.
    8. John R. Graham & Roni Michaely & Michael R. Roberts, 2003. "Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex-Dividend Pricing before and after Decimalization," Journal of Finance, American Finance Association, vol. 58(6), pages 2611-2636, December.
    9. 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.
    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.
    11. Michaely, Roni, 1991. " Ex-dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act," Journal of Finance, American Finance Association, vol. 46(3), pages 845-59, July.
    12. Miller, Merton H & Scholes, Myron S, 1982. "Dividends and Taxes: Some Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 90(6), pages 1118-41, December.
    13. Edwin J. Elton & Martin J. Gruber & Christopher R. Blake, 2005. "Marginal Stockholder Tax Effects and Ex-Dividend-Day Price Behavior: Evidence From Taxable Versus Nontaxable Closed-End Funds," The Review of Economics and Statistics, MIT Press, vol. 87(3), pages 579-586, August.
    14. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1999. "Further Evidence on Dividend Yields and the Ex-Dividend Day Stock Price Effect," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 22(4), pages 503-14, Winter.
    15. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    16. Eades, Kenneth M. & Hess, Patrick J. & Kim, E. Han, 1984. "On interpreting security returns during the ex-dividend period," Journal of Financial Economics, Elsevier, vol. 13(1), pages 3-34, March.
    17. Dubofsky, David, 1997. "Limit orders and ex-dividend day return distributions," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 47-65, January.
    18. James A. Campbell & William Beranek, 1955. "Stock Price Behavior On Ex‐Dividend Dates," Journal of Finance, American Finance Association, vol. 10(4), pages 425-429, December.
    19. David A. Dubofsky, 1992. "A Market Microstructure Explanation of Ex-Day Abnormal Returns," Financial Management, Financial Management Association, vol. 21(4), Winter.
    20. Koski, Jennifer Lynch, 1996. "A Microstructure Analysis of Ex-dividend Stock Price Behavior before and after the 1984 and 1986 Tax Reform Acts," The Journal of Business, University of Chicago Press, vol. 69(3), pages 313-38, July.
    21. Elton, Edwin J & Gruber, Martin J, 1970. "Marginal Stockholder Tax Rates and the Clientele Effect," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 68-74, February.
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