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Test for Tax Effects in the Pricing of Financial Assets
11 references·8 citing·41 second hop
Test for Tax Effects in the Pricing of Financial Assets (1983)Test for Tax Effects in the Pricing of Fi…The theory and practice of econometrics (1986)The theory and practice of ec…New Evidence That Taxes Affect the Valuation of Dividends (1984)New Evidence That Taxes Affec…Dividends and Capital Asset Prices (1982)Dividends and Capital Asset P…Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium (1980)Dividends, Short Selling Rest…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Taxation and the Stock Market Valuation of Capital Gains and Dividends: Theory and Empirical Results (Rev) (1979)Taxation and the Stock Market…Dividends and taxes (1978)Dividends and taxesDEBT AND TAXES* (1977)DEBT AND TAXES*TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970)TAXES, MARKET VALUATION AND C…Marginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…Dividend Policy, Growth, and the Valuation of Shares (1961)Dividend Policy, Growth, and …Using genetic algorithm based knowledge refinement model for dividend policy forecasting (2012)Using genetic algorithm based…Payout Policy**Avner Kalay is from the David Eccles School of Business, The University of Utah and Tel Aviv University and Mike Lemmon is from the David Eccles School of Business, The University of Utah. The authors acknowledge helpful comments from Espen Eckbo (the editor). (2008)Payout Policy**Avner Kalay is…EX‐DIVIDEND EQUITY PRICING UNDER UK TAX REGIMES (1993)EX‐DIVIDEND EQUITY PRICING UN…Dividend Yields and Stock Returns: Evidence of Time Variation between Bull and Bear Markets (1993)Dividend Yields and Stock Ret…Dividend yields and stock returns: Evidence from the Tokyo Stock Exchange (1992)Dividend yields and stock ret…Dividends, taxes, and normative portfolio theory (1990)Dividends, taxes, and normati…On interpreting security returns during the ex-dividend period (1984)On interpreting security retu…New Evidence that Taxes Affect the Valuation of Dividends (1984)New Evidence that Taxes Affec…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Digesting Anomalies: An Investment Approach (2012)… and the Cross-Section of Expected Returns (2015)The Adjustment of Stock Prices to New Information (1969)Stock returns and the weekend effect (1980)The valuation effects of stock splits and stock dividends (1984)The real term structure and consumption growth (1988)Stock Prices and the Supply of Information (1991)The Adjustment of Stock Prices to New Information (2003)Job Market Signaling (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Some anomalous evidence regarding market efficiency (1978)Efficient Capital Markets: II (1991)Is Information Risk a Determinant of Asset Returns? (2002)The Investment, Financing, and Valuation of the Corporation (1963)A Theory of Dividends Based on Tax Clienteles (2000)Exchange Rates and Fundamentals (2005)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Behavior of Stock-Market Prices (1965)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)Alternative 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'.1 (1998)The effect of capital structure on a firm's liquidation decision (1984)Theory of Financial Decision Making. (1988)The cost of capital, corporation finance and the theory of investment (2008)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Tax-induced trading around ex-dividend days (1986)Determinants of Corporate Dividend Policy in Jordan: An Application of the Tobit Model (2007)Payout Policy (2014)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Does Academic Research Destroy Stock Return Predictability? (2015)
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References

  • 1961Dividend Policy, Growth, and the Valuation of Shares6,554 cited
  • 1986The theory and practice of econometrics4,342 cited
  • 1977DEBT AND TAXES*3,151 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,255 cited
  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1970TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY796 cited
  • 1978Dividends and taxes760 cited
  • 1984New Evidence That Taxes Affect the Valuation of Dividends287 cited
  • 1980Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium207 cited
  • 1979Taxation and the Stock Market Valuation of Capital Gains and Dividends: Theory and Empirical Results (Rev)99 cited
  • 1982Dividends and Capital Asset Prices53 cited

Cited by

  • 1984On interpreting security returns during the ex-dividend period298 cited
  • 2012Using genetic algorithm based knowledge refinement model for dividend policy forecasting28 cited
  • 1993Dividend Yields and Stock Returns: Evidence of Time Variation between Bull and Bear Markets24 cited
  • 1984New Evidence that Taxes Affect the Valuation of Dividends

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20 cited
  • 1993EX‐DIVIDEND EQUITY PRICING UNDER UK TAX REGIMES20 cited
  • 1990Dividends, taxes, and normative portfolio theory19 cited
  • 2008Payout Policy**Avner Kalay is from the David Eccles School of Business, The University of Utah and Tel Aviv University and Mike Lemmon is from the David Eccles School of Business, The University of Utah. The authors acknowledge helpful comments from Espen Eckbo (the editor).16 cited
  • 1992Dividend yields and stock returns: Evidence from the Tokyo Stock Exchange15 cited