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Is a dividend tax penalty incorporated into the return on a firm's common stock?
16 references·16 citing·32 second hopsampled
Is a dividend tax penalty incorporated into the return on a firm's common stock? (2003)Is a dividend tax penalty incorporated in…A Theory of Dividends Based on Tax Clienteles (2000)A Theory of Dividends Based o…Taxes, Financing Decisions, and Firm Value (1998)Taxes, Financing Decisions, a…Return autocorrelation and institutional investors (1997)Return autocorrelation and in…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? (1995)Price Reactions to Dividend I…Earnings, Book Values, and Dividends in Equity Valuation* (1995)Earnings, Book Values, and Di…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)An analysis of intertemporal …The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects? (1982)The Effects of Dividends on C…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy (1979)Imperfect Information, Divide…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Risk, Return, and Equilibrium (1971)Risk, Return, and EquilibriumMarginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…The impact of investor-level taxation on mergers and acquisitions (2019)The impact of investor-level …Measuring Tax-Sensitive Institutional Investor Ownership (2017)Measuring Tax-Sensitive Insti…The effect of capital gains taxes on the initial pricing and underpricing of IPOs (2015)The effect of capital gains t…The turn-of-the-year effect and tax-loss-selling by institutional investors (2014)The turn-of-the-year effect a…What Influences Accounting Research? A Citations-Based Analysis (2013)What Influences Accounting Re…Did the 2003 Tax Act Increase Capital Investments by Corporations? (2013)Did the 2003 Tax Act Increase…The Extent of Implicit Taxes at the Corporate Level and the Effect of TRA86* (2012)The Extent of Implicit Taxes …The Effect of Tax-Exempt Investors and Risk on Stock Ownership and Expected Returns (2010)The Effect of Tax-Exempt Inve…Tax-Induced Trading around the Taxpayer Relief Act of 1997 (2008)Tax-Induced Trading around th…The Effect of Shareholder Taxes on Corporate Payout Choice (2007)The Effect of Shareholder Tax…Institutional and individual investor preferences for dividends and share repurchases (2007)Institutional and individual …Investor Tax Heterogeneity and Ex‐Dividend Day Trading Volume (2006)Investor Tax Heterogeneity an…Did the 2003 Tax Act Reduce the Cost of Equity Capital? (2006)Did the 2003 Tax Act Reduce t…The Effect of Shareholder-Level Capital Gains Taxes on Acquisition Structure (2004)The Effect of Shareholder-Lev…The Initial Impact of the 2003 Reduction in the Dividend Tax Rate (2003)The Initial Impact of the 200…Capital Gains Taxes and Equity Trading: Empirical Evidence (2003)Capital Gains Taxes and Equit…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Dividend Policy, Growth, and the Valuation of Shares (1961)INFORMATIONAL ASYMMETRIES, FINANCIAL STRUCTURE, AND FINANCIAL INTERMEDIATION (1977)Corporate Financing and Investment Decisions When Firms Have InformationThat Investors Do Not Have (1984)The investment opportunity set and corporate financing, dividend, and compensation policies (1992)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)Fundamentals and Stock Returns in Japan (1991)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)Liquidity and stock returns: An alternative test (1998)The Theory and Measurement of Business Income (1961)Valuation and Clean Surplus Accounting for Operating and Financial Activities* (1995)Capital markets research in accounting (2001)Does Corporate Social Responsibility Affect the Cost of Capital? (2010)The Behavior of Stock-Market Prices (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)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)An Intertemporal Capital Asset Pricing Model (1973)An Empirical Evaluation of Accounting Income Numbers (1968)Earnings Asan Explanatory Variable for Returns (1991)Forecasting Profitability and Earnings (2000)Does Greater Firm‐Specific Return Variation Mean More or Less Informed Stock Pricing? (2003)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Auditor choice and the cost of debt capital for newly public firms (2004)Does the Contribution of Corporate Cash Holdings and Dividends to Firm Value Depend on Governance? A Cross‐country Analysis (2006)Corporate Tax Avoidance and Firm Value (2009)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1995Earnings, Book Values, and Dividends in Equity Valuation*5,061 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1979Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy2,809 cited
  • 1989An analysis of intertemporal and cross-sectional determinants of earnings response coefficients1,685 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1998Taxes, Financing Decisions, and Firm Value1,037 cited
  • 1995Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?939 cited
  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 2000A Theory of Dividends Based on Tax Clienteles857 cited
  • 1971Risk, Return, and Equilibrium539 cited
  • 1982The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects?447 cited

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  • 1997Return autocorrelation and institutional investors388 cited
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    • 2006Did the 2003 Tax Act Reduce the Cost of Equity Capital?136 cited
    • 2003Capital Gains Taxes and Equity Trading: Empirical Evidence111 cited
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    • 2006Investor Tax Heterogeneity and Ex‐Dividend Day Trading Volume97 cited
    • 2004The Effect of Shareholder-Level Capital Gains Taxes on Acquisition Structure80 cited
    • 2007The Effect of Shareholder Taxes on Corporate Payout Choice69 cited
    • 2003The Initial Impact of the 2003 Reduction in the Dividend Tax Rate53 cited
    • 2014The turn-of-the-year effect and tax-loss-selling by institutional investors43 cited
    • 2010The Effect of Tax-Exempt Investors and Risk on Stock Ownership and Expected Returns41 cited
    • 2017Measuring Tax-Sensitive Institutional Investor Ownership41 cited
    • 2019The impact of investor-level taxation on mergers and acquisitions39 cited
    • 2013Did the 2003 Tax Act Increase Capital Investments by Corporations?39 cited
    • 2008Tax-Induced Trading around the Taxpayer Relief Act of 199739 cited
    • 2012The Extent of Implicit Taxes at the Corporate Level and the Effect of TRA86*38 cited
    • 2015The effect of capital gains taxes on the initial pricing and underpricing of IPOs38 cited
    • 2013What Influences Accounting Research? A Citations-Based Analysis37 cited