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Friend Friend, Puckett Puckett (September, 1964)
“Dividends and Stock Prices,”American Economic Review
Litzenberger Litzenberger, Ramaswamy Ramaswamy (June, 1979)
“The Effects of Personal Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence,”Journal of Financial Economics
Merton Miller, F. Modigliani (1961)
DIVIDEND POLICY, GROWTH, AND THE VALUATION OF SHARESThe Journal of Business, 34
Merton Miller, Myron Scholes (1982)
Dividends and Taxes: Some Empirical EvidenceJournal of Political Economy, 90
E. Elton, M. Gruber (1970)
Marginal Stockholder Tax Rates and the Clientele EffectThe Review of Economics and Statistics, 52
A. Zellner (1962)
An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation BiasJournal of the American Statistical Association, 57
Merton Miller, Myron Scholes (1978)
Dividends and taxesJournal of Financial Economics, 6
Patrick Hess (1981)
Dividend Yields and Stock Returns: A Test for Tax EffectsNBER Working Paper Series
M. Blume (1980)
Stock Returns and Dividend Yields: Some More EvidenceThe Review of Economics and Statistics, 62
R. Litzenberger, K. Ramaswamy (1979)
The effect of personal taxes and dividends on capital asset pricesJournal of Financial Economics, 7
Gordon Gordon, Bradford Bradford (October, 1980)
“Taxation and the Stock Market Valuation of Dividends and Capital Gains: Theory and Empirical Results,”Journal of Public Economics
R. Litzenberger, K. Ramaswamy (1980)
Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market EquilibriumJournal of Finance, 35
R. Gordon, D. Bradford (1979)
Taxation and the Stock Market Valuation of Capital Gains and Dividends: Theory and Empirical Results (Rev)Corporate Finance: Capital Structure & Payout Policies
F. Black, Myron Scholes (1974)
The effects of dividend yield and dividend policy on common stock prices and returnsJournal of Financial Economics, 1
M. Brennan (1970)
TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICYNational Tax Journal, 23
A. Auerbach (1981)
Stockholder Tax Rates and Firm AttributesSPGMI: Compustat Fundamentals (Topic)
The Ex-Dividend Day Behavior of Stock Returns: Further Evidence on Tax Effects PATRICK J. HESS* I. Introduction THEEFFECTS OF firms' dividend policies on stock returns have been widely studied.' For the most part researchers have documented a statistically significant relation between dividend yields and stock returns; however, the explanation of this common empirical finding has been controversial. In two important papers, Litzenberger and Ramaswamy (1979, 1980) argue that this relation is best explained by differential taxation of dividends over capital gains. Litzenberger and Ramaswamy, like Elton and Gruber (1970) and Auerbach (1981), further argue that the dividend effect is complicated by clientele effects: the marginaltax brackets implicit in security prices are negatively related to dividend yields.' The differential-tax explanation has been challenged by Blume (1980), Hess (1981),and Miller and Scholes (1981);these authors argue that the relation across securities is far too complicated to be entirely explained by tax effects. Hess conjectures that the empirical tests are clouded by the ability of dividend yields to proxy for changes in the riskiness of common stocks, and therefore, of their expected returns. Miller and Scholes outline the pitfalls of defining a dividend yield variable for a monthly trading interval; demonstrating that
The Journal of Finance – Wiley
Published: May 1, 1982
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