Dividend yields and stock returns: Implications of abnormal January returns
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.
(This abstract was borrowed from another version of this item.)
When requesting a correction, please mention this item's handle: RePEc:eee:jfinec:v:14:y:1985:i:3:p:473-489. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.