The effect of personal taxes and dividends on capital asset pricesRobert H. Litzenberger, Krishna A Ramaswamy1979-06-01articleJournal of Financial Economics1,212 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Markets and Investment StrategiesCorporate Finance and GovernanceFinancial Analysis and Corporate GovernanceAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 1,212 citations exist upstream.References1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1961Dividend Policy, Growth, and the Valuation of Shares1972Capital Market Equilibrium with Restricted Borrowing1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory1972The capital asset pricing model: Some empirical testsCited by1991Fundamentals and Stock Returns in Japan1998Liquidity and stock returns: An alternative test1998Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.11998Accounting valuation, market expectation, and cross-sectional stock returns2018Replicating Anomalies2008Idiosyncratic risk and the cross-section of expected stock returns1999Conditioning Variables and the Cross Section of Stock Returns2006Liquidity and Asset Prices