Dividend Size, Yield, Clienteles and REITs

Dividend Size, Yield, Clienteles and REITs Dividend size and dividend yield are typically highly correlated which substantially hinders the empirical assessment of ex-dividend stock pricing. The ability to disentangle the joint effect of dividend yield and dividend size on ex-dividend stock prices is thus of central importance in assessing existing theories. Fortunately, the REIT asset class provides data having a low correlation between dividend size and dividend yield allowing for a cleaner assessment of the extant theories. Evidence from the present study indicates that results that are typically interpreted as confirmatory of the tax-induced clientele effect may be spurious. Instead, transaction costs and limit order adjustments are likely the determinants of the observed relationships between the change in price to dividend ratio, dividend yield, and dividend size. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

Dividend Size, Yield, Clienteles and REITs

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Publisher
Springer US
Copyright
Copyright © 2010 by Springer Science+Business Media, LLC
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
D.O.I.
10.1007/s11146-010-9276-x
Publisher site
See Article on Publisher Site

Abstract

Dividend size and dividend yield are typically highly correlated which substantially hinders the empirical assessment of ex-dividend stock pricing. The ability to disentangle the joint effect of dividend yield and dividend size on ex-dividend stock prices is thus of central importance in assessing existing theories. Fortunately, the REIT asset class provides data having a low correlation between dividend size and dividend yield allowing for a cleaner assessment of the extant theories. Evidence from the present study indicates that results that are typically interpreted as confirmatory of the tax-induced clientele effect may be spurious. Instead, transaction costs and limit order adjustments are likely the determinants of the observed relationships between the change in price to dividend ratio, dividend yield, and dividend size.

Journal

The Journal of Real Estate Finance and EconomicsSpringer Journals

Published: Sep 18, 2010

References

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