This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Testing Dividend Signalling Models Author info | Abstract | Publisher info | Download info | Related research | Statistics Dan Bernhardt
J. Fiona Robertson
Ray Farrow
Additional information is available for the following
registered author(s):
This paper derives a key monotonicity property common to dividend signalling models: the greater the rate that dividend income is taxed relative to capital gains income, the greater the value of information revealed by a given dividend yield, and hence the greater the associated excess return. This monotonicity condition allows us to distinguish the hypothesis that dividends are used as a signalling device from the hypothesis that dividends contain information but are not used as Spencian signals. The monotonicity conditions are tested with robust non-parametric techniques. Although we find strong evidence that dividend announcements contain information, we find no evidence to support dividend signalling. The same results are inconsistent with tax-based CAPM arguments.
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.
Paper provided by Queen's University, Department of Economics in its series Working Papers with number
895.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: Jan 1994Date of revision:
Handle: RePEc:qed:wpaper:895Contact details of provider: Postal: Kingston, Ontario, K7L 3N6 Phone: (613) 533-2250 Fax: (613) 533-6668 Email: Web page: http://www.econ.queensu.ca/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Mark Babcock).
Keywords: signalling ; non-parametric ; Other versions of this item:
Find related papers by JEL classification: G0 - Financial Economics - - General
References listed on IDEAS 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.:
Avner Kalay & Roni Michaely, 2000.
"Dividends and Taxes: A Re-Examination ,"
Financial Management ,
Financial Management Association, vol. 29(2), Summer.
Pettit, R Richardson, 1976.
"The Impact of Dividend and Earnings Announcements: A Reconciliation ,"
Journal of Business ,
University of Chicago Press, vol. 49(1), pages 86-96, January.
[Downloadable!] (restricted)
Engers, Maxim, 1987.
"Signalling with Many Signals ,"
Econometrica ,
Econometric Society, vol. 55(3), pages 663-74, May.
[Downloadable!] (restricted)
Jensen, Michael C, 1986.
"Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers ,"
American Economic Review ,
American Economic Association, vol. 76(2), pages 323-29, May.
[Downloadable!] (restricted)
Brown, Stephen J. & Warner, Jerold B., 1980.
"Measuring security price performance ,"
Journal of Financial Economics ,
Elsevier, vol. 8(3), pages 205-258, September.
[Downloadable!] (restricted)
Miller, Merton H & Rock, Kevin, 1985.
" Dividend Policy under Asymmetric Information ,"
Journal of Finance ,
American Finance Association, vol. 40(4), pages 1031-51, September.
[Downloadable!] (restricted)
John, Kose & Mishra, Banikanta, 1990.
" Information Content of Insider Trading Around Corporate Announcements: The Case of Capital Expenditures ,"
Journal of Finance ,
American Finance Association, vol. 45(3), pages 835-55, July.
[Downloadable!] (restricted)
Watts, Ross, 1973.
"The Information Content of Dividends ,"
Journal of Business ,
University of Chicago Press, vol. 46(2), pages 191-211, April.
[Downloadable!] (restricted)
Stephen A. Ross, 1977.
"The Determination of Financial Structure: The Incentive-Signalling Approach ,"
Bell Journal of Economics ,
The RAND Corporation, vol. 8(1), pages 23-40, Spring.
[Downloadable!] (restricted)
Merton H. Miller & Franco Modigliani, 1961.
"Dividend Policy, Growth, and the Valuation of Shares ,"
Journal of Business ,
University of Chicago Press, vol. 34, pages 411.
[Downloadable!]
Hakansson, Nils H, 1982.
" To Pay or Not to Pay Dividend ,"
Journal of Finance ,
American Finance Association, vol. 37(2), pages 415-28, May.
[Downloadable!] (restricted)
Ofer, Aharon R & Thakor, Anjan V, 1987.
" A Theory of Stock Price Responses to Alternative Corporate Cash Disbursement Methods: Stock Repurchases and Dividends ,"
Journal of Finance ,
American Finance Association, vol. 42(2), pages 365-94, June.
[Downloadable!] (restricted)
Other versions: Christie, W. G. & Huang, R. D., 1994.
"The changing functional relation between stock returns and dividend yields ,"
Journal of Empirical Finance ,
Elsevier, vol. 1(2), pages 161-191, January.
[Downloadable!] (restricted)
B. Douglas Berhheim, 1991.
"Tax Policy and the Dividend Puzzle ,"
RAND Journal of Economics ,
The RAND Corporation, vol. 22(4), pages 455-476, Winter.
[Downloadable!] (restricted)
Other versions: Litzenberger, Robert H & Ramaswamy, Krishna, 1982.
" The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects? ,"
Journal of Finance ,
American Finance Association, vol. 37(2), pages 429-43, May.
[Downloadable!] (restricted)
Riley, John G, 1979.
"Informational Equilibrium ,"
Econometrica ,
Econometric Society, vol. 47(2), pages 331-59, March.
[Downloadable!] (restricted)
Other versions: Miller, Merton H. & Scholes, Myron S., 1978.
"Dividends and taxes ,"
Journal of Financial Economics ,
Elsevier, vol. 6(4), pages 333-364, December.
[Downloadable!] (restricted)
Nils H. Hakansson., 1982.
"To Pay or Not to Pay Dividends ,"
Research Program in Finance Working Papers
124, University of California at Berkeley.
Mailath, George J, 1987.
"Incentive Compatibility in Signaling Games with a Continuum of Types ,"
Econometrica ,
Econometric Society, vol. 55(6), pages 1349-65, November.
[Downloadable!] (restricted)
Laub, P Michael, 1976.
"On the Informational Content of Dividends ,"
Journal of Business ,
University of Chicago Press, vol. 49(1), pages 73-80, January.
[Downloadable!] (restricted)
Asquith, Paul & Mullins, David W, Jr, 1983.
"The Impact of Initiating Dividend Payments on Shareholders' Wealth ,"
Journal of Business ,
University of Chicago Press, vol. 56(1), pages 77-96, January.
[Downloadable!] (restricted)
Litzenberger, Robert H & Ramaswamy, Krishna, 1980.
" Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium ,"
Journal of Finance ,
American Finance Association, vol. 35(2), pages 469-82, May.
[Downloadable!] (restricted)
Banks, Jeffrey S. & Sobel, Joel., 1985.
"Equilibrium Selection in Signaling Games ,"
Working Papers
565, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!]
Other versions: John, Kose & Lang, Larry H P, 1991.
" Insider Trading around Dividend Announcements: Theory and Evidence ,"
Journal of Finance ,
American Finance Association, vol. 46(4), pages 1361-89, September.
[Downloadable!] (restricted)
Ang, James S, 1975.
"Dividend Policy: Informational Content or Partial Adjustment? ,"
The Review of Economics and Statistics ,
MIT Press, vol. 57(1), pages 65-70, February.
[Downloadable!] (restricted)
Spence, A Michael, 1973.
"Job Market Signaling ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 87(3), pages 355-74, August.
[Downloadable!] (restricted)
Praveen Kumar, 1988.
"Shareholder-Manager Conflict and the Information Content of Dividends ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 1(2), pages 111-136.
[Downloadable!] (restricted)
Litzenberger, Robert H. & Ramaswamy, Krishna, 1979.
"The effect of personal taxes and dividends on capital asset prices : Theory and empirical evidence ,"
Journal of Financial Economics ,
Elsevier, vol. 7(2), pages 163-195, June.
[Downloadable!] (restricted)
Full
references 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.)
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)
Raj Chetty & Emmanuel Saez, 2004.
"Dividend Taxes and Corporate Behavior: Evidence from the 2003 Dividend Tax Cut ,"
NBER Working Papers
10841, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Chetty, Raj & Saez, Emmanuel, 2004.
"Dividend Taxes and Corporate Behaviour: Evidence from the 2003 Dividend Tax Cut ,"
CEPR Discussion Papers
4722, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Raj Chetty & Emmanuel Saez, 2005.
"Dividend Taxes and Corporate Behavior: Evidence from the 2003 Dividend Tax Cut ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 120(3), pages 791-833, August.
Access and
download statistics Did you know? You too can volunteer for RePEc, for example by encouraging others to register as authors .
This page was last updated on 2009-11-26.
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 .