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AN INDIRECT TEST FOR DIVIDEND RELEVANCE
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AN INDIRECT TEST FOR DIVIDEND RELEVANCE (1995)AN INDIRECT TEST FOR DIVIDEND RELEVANCEThe 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…Dividend capture in NASDAQ stocks (1990)Dividend capture in NASDAQ st…Short-term trading around ex-dividend days (1988)Short-term trading around ex-…Tax-induced trading around ex-dividend days (1986)Tax-induced trading around ex…A test of dividend irrelevance using volume reactions to a change in dividend policy (1986)A test of dividend irrelevanc…The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)The Ex-Dividend Day Behavior …Dividends and Taxes: Some Empirical Evidence (1982)Dividends and Taxes: Some Emp…Dividends and Capital Asset Prices (1982)Dividends and Capital Asset P…Debt, Dividend Policy, Taxes, Inflation and Market Valuation (1982)Debt, Dividend Policy, Taxes,…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 …Dividends and taxes (1978)Dividends and taxesThe effects of dividend yield and dividend policy on common stock prices and returns (1974)The effects of dividend yield…Marginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…Relationship between Dividend Payout and Economic Value Added: A Case of Square Pharmaceuticals Limited, Bangladesh (2013)Relationship between Dividend…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)Digesting Anomalies: An Investment Approach (2012)… and the Cross-Section of Expected Returns (2015)Dividend Policy, Growth, and the Valuation of Shares (1961)Asset pricing and the bid-ask spread (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Determinants of corporate borrowing (1977)Macroeconomics and finance: The role of the stock market (1984)Dividend policy theories and their empirical tests (2002)Financial Theory and Corporate Policy. (1980)The relationship between return and market value of common stocks (1981)Dividend yields and expected stock returns (1988)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 valuation effects of stock splits and stock dividends (1984)The real term structure and consumption growth (1988)Job Market Signaling (1973)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)The Adjustment of Stock Prices to New Information (1969)Measuring security price performance (1980)The Relation Between Price Changes and Trading Volume: A Survey (1987)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)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)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)Using daily stock returns (1985)Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory (2000)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)
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References

  • 1979The effect of personal taxes and dividends on capital asset prices1,255 cited
  • 1974The effects of dividend yield and dividend policy on common stock prices and returns1,002 cited
  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1978Dividends and taxes760 cited
  • 1982Dividends and Taxes: Some Empirical Evidence684 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
  • 1991Ex‐Dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act*214 cited
  • 1982Debt, Dividend Policy, Taxes, Inflation and Market Valuation207 cited
  • 1980Dividends, Short Selling Restrictions, Tax-Induced Investor Clienteles and Market Equilibrium207 cited
  • 1986A test of dividend irrelevance using volume reactions to a change in dividend policy191 cited
  • 1988Short-term trading around ex-dividend days166 cited
  • 1990Dividend capture in NASDAQ stocks109 cited
  • 1991The Impact of the 1986 Tax Reform Act on Ex-Dividend Day Returns62 cited
  • 1982Dividends and Capital Asset Prices53 cited

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  • 2013Relationship between Dividend Payout and Economic Value Added: A Case of Square Pharmaceuticals Limited, Bangladesh11 cited