Dividend Yields and Stock Returns: Implications of Abnormal January Returns

This file is part of IDEAS, which uses RePEc data

Dividend Yields and Stock Returns: Implications of Abnormal January Returns

Author Info

Donald B. Keim

Additional information is available for the following registered author(s):

Donald B. Keim

Abstract

This study examines the empirical relation between stock returns and (long-run) dividend yields. The findings show that much of the phenomenon is due to a non-linear relation between dividend yields and returns in January. Regression coefficients on dividend yields, which some models predict should be non-zero due to differential taxation of dividends and capital gains, exhibit a significant January seasonal, even when controlling for size. This finding is significant since there are no provisions in the after-tax asset pricing models that predict the tax differential is more important in January than in other months.

Download Info
To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Publisher Info
Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 14-85.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation:
Date of revision:
Handle: RePEc:fth:pennfi:14-85

Contact details of provider:
Postal: 3254 Steinberg Hall-Dietrich Hall, Philadelphia, PA 19104-6367
Phone: (215) 898-7616
Fax: (215) 573-8084
Email:
Web page: http://finance.wharton.upenn.edu/~rlwctr/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).

Related research
Keywords:

Other versions of this item:

Article
- Keim, Donald B., 1985. "Dividend yields and stock returns: Implications of abnormal January returns," Journal of Financial Economics, Elsevier, vol. 14(3), pages 473-489, September. [Downloadable!] (restricted)

Cited by:
(explanations, 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.)

Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management. [Downloadable!]
Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
Other versions:
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. [Downloadable!] (restricted)
Greg Filbeck, Sue Visscher, 1997. "Dividend yield strategies in the British stock market," European Journal of Finance, Taylor and Francis Journals, vol. 3(4), pages 277-289, December. [Downloadable!] (restricted)
Tim Jenkinson & Leonie Bell, 2000. "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," Economics Series Working Papers 024, University of Oxford, Department of Economics. [Downloadable!]
Other versions:
- Bell, Leonie & Jenkinson, Tim, 2001. "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," CEPR Discussion Papers 2946, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
- Leonie Bell & Tim Jenkinson, 2001. "New evidence of the impact of dividend taxation and on the identity of the marginal investor," OFRC Working Papers Series 2001fe14, Oxford Financial Research Centre. [Downloadable!]
- Bell, L. & Jenkinson, T., 2000. "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," Economics Series Working Papers 9924, University of Oxford, Department of Economics.
- Leonie Bell & Tim Jenkinson, 2002. "New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor," Journal of Finance, American Finance Association, vol. 57(3), pages 1321-1346, 06. [Downloadable!] (restricted)
Michael E. Drew & Tony Naughton & Madhu Veeraraghavan, 2003. "Is Idiosyncratic Volatility Priced? Evidence from the Shanghai Stock Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 138, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
Other versions:
- Drew, Michael E. & Naughton, Tony & Veeraraghavan, Madhu, 2004. "Is idiosyncratic volatility priced?: Evidence from the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 349-366. [Downloadable!] (restricted)
Fernandez, Pablo, 2004. "Are calculated betas good for anything?," IESE Research Papers D/555, IESE Business School. [Downloadable!]
Arnold L. Redman & Herman Manakyan & Kartono Liano, 1997. "Real Estate Investment Trusts and Calendar Anomalies," Journal of Real Estate Research, American Real Estate Society, vol. 14(1), pages 19-28. [Downloadable!]
Kee Ho Chung & Chong Soo Pyun, 1989. "The Effects Of Risk, Inflation And Dividend Yield On Common Stock Returns: The Case Of Korea," International Economic Journal, Korean International Economic Association, vol. 3(4), pages 69-78, December. [Downloadable!] (restricted)

Statistics

Access and download statistics

Did you know? All the bibliographic data shown here has been contributed by volunteers, thereby helping to keep this service free.

This page was last updated on 2009-11-20.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.