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FURTHER EVIDENCE ON DIVIDEND YIELDS AND THE EX‐DIVIDEND DAY STOCK PRICE EFFECT
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FURTHER EVIDENCE ON DIVIDEND YIELDS AND THE EX‐DIVIDEND DAY STOCK PRICE EFFECT (1999)FURTHER EVIDENCE ON DIVIDEND YIELDS AND T…A Microstructure Analysis of Ex-Dividend Stock Price Behavior Before and After the 1984 and 1986 Tax Reform Acts (1996)A Microstructure Analysis of …Ex-Dividend Day Share Price Behavior: Effects of the Tax Reform Act of 1986 (1993)Ex-Dividend Day Share Price B…The Impact of the 1986 Tax Reform Act on Ex-Dividend Day Returns (1991)The Impact of the 1986 Tax Re…Ex‐Dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act* (1991)Ex‐Dividend Day Stock Price B…Short-term trading around ex-dividend days (1988)Short-term trading around ex-…Dividends, taxes, and common stock prices (1987)Dividends, taxes, and common …Tax-induced trading around ex-dividend days (1986)Tax-induced trading around ex…The Ex-Dividend Day Behavior of Stock Prices; A Re-Examination of the Clientele Effect: A Comment (1984)The Ex-Dividend Day Behavior …New Evidence That Taxes Affect the Valuation of Dividends (1984)New Evidence That Taxes Affec…Tax Reform and Ex-Dividend Day Behavior (1983)Tax Reform and Ex-Dividend Da…The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)The Ex-Dividend Day Behavior …Marginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The Relation Between Price Changes and Trading Volume: A Survey (1987)Differential Interpretation of Public Signals and Trade in Speculative Markets (1995)A New Estimate of Transaction Costs (1999)Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)The Association Between Market Determined and Accounting Determined Risk Measures. (1970)The valuation effects of stock splits and stock dividends (1984)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Closed-end fund premia and returns implications for financial market equilibrium (1995)Do Dividend Clienteles Exist? Evidence on Dividend Preferences of Retail Investors (2006)Dividend Policy, Growth, and the Valuation of Shares (1961)Applied Linear Statistical Models. (1975)Measuring security price performance (1980)Dividends and Taxes: Some Empirical Evidence (1982)The effect of personal taxes and dividends on capital asset prices (1979)On corporate governance (1983)Corporate Dividend Policy Response to the Tax Reform Act of 1986 (1994)Ex-Dividend Day Price and Volume: The Case of 2003 Dividend Tax Cut (2008)Do Tax Law Changes Influence Ex‐Dividend Stock Price Behavior? Evidence from 1926 to 2005 (2010)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)THE 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.] (1975)The real term structure and consumption growth (1988)The Investment, Financing, and Valuation of the Corporation (1963)A Theory of Dividends Based on Tax Clienteles (2000)Exchange Rates and Fundamentals (2005)The Adjustment of Stock Prices to New Information (1969)Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Trading Volume and Price Reactions to Public Announcements (1991)The Adjustment of Stock Prices to New Information (2003)Financial Theory and Corporate Policy. (1980)The market valuation of cash dividends (1986)Dividend Stripping, Risk Exposure, and the Effect of the 1984 Tax Reform Act on the Ex-Dividend Day Behavior (1989)Using daily stock returns (1985)Do Price Discreteness and Transactions Costs Affect Stock Returns? Comparing Ex‐Dividend Pricing before and after Decimalization (2003)Jumps and Information Flow in Financial Markets (2011)DEBT AND TAXES* (1977)Determinants of Corporate Dividend Policy in Jordan: An Application of the Tobit Model (2007)Payout Policy (2014)
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References

  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1982The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect440 cited
  • 1986Tax-induced trading around ex-dividend days332 cited
  • 1984New Evidence That Taxes Affect the Valuation of Dividends287 cited
  • 1991Ex‐Dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act*214 cited
  • 1987Dividends, taxes, and common stock prices197 cited
  • 1988Short-term trading around ex-dividend days166 cited
  • 1983Tax Reform and Ex-Dividend Day Behavior150 cited
  • 1984The Ex-Dividend Day Behavior of Stock Prices; A Re-Examination of the Clientele Effect: A Comment78 cited
  • 1991The Impact of the 1986 Tax Reform Act on Ex-Dividend Day Returns62 cited
  • 1996A Microstructure Analysis of Ex-Dividend Stock Price Behavior Before and After the 1984 and 1986 Tax Reform Acts62 cited
  • 1993Ex-Dividend Day Share Price Behavior: Effects of the Tax Reform Act of 198636 cited

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