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Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts
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Dividend Taxes and Share Prices: Evidence from Real Estate Investment Trusts (2001)Dividend Taxes and Share Prices: Evidence…Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes (1998)Why do stock prices drop by l…Taxes, Financing Decisions, and Firm Value (1998)Taxes, Financing Decisions, a…Ex dividend day stock price behavior: discreteness or tax-induced clienteles? (1998)Ex dividend day stock price b…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…New Evidence That Taxes Affect the Valuation of Dividends (1984)New Evidence That Taxes Affec…The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982)The Ex-Dividend Day Behavior …The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects? (1982)The Effects of Dividends on C…Dividends and Taxes: Some Empirical Evidence (1982)Dividends and Taxes: Some Emp…The incidence and allocation effects of a tax on corporate distributions (1981)The incidence and allocation …The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Public Policy and the Corporation. (1978)Public Policy and the Corpora…Dividends and taxes (1978)Dividends and taxesTHE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES (1977)THE VALUATION OF CLOSED‐END I…The effects of dividend yield and dividend policy on common stock prices and returns (1974)The effects of dividend yield…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…Real Earnings Management and Dividend Payout Signals: A Study for U.S. Real Estate Investment Trusts (2008)Real Earnings Management and …Is There a Disposition Effect in Corporate Investment Decisions? Evidence from Real Estate Investment Trusts (2007)Is There a Disposition Effect…Why Do REITs Repurchase Stock? Extricating the Effect of Managerial Signaling in Open Market Share Repurchase Announcements (2006)Why Do REITs Repurchase Stock…Do Stock Prices Really Reflect Fundamental Values? The Case of REITs (2004)Do Stock Prices Really Reflec…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)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 Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)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)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)The Determination of Financial Structure: The Incentive-Signalling Approach (1977)Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy (1979)Evaluating the Performance of International Mutual Funds (1990)A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques (1994)The Cross-section of Expected Stock Returns (2015)Financial Theory and Corporate Policy. (1980)The relationship between return and market value of common stocks (1981)Anatomy of Initial Public Offerings of Common Stock (1988)Market Expectations in the Cross‐Section of Present Values (2013)Common Risk Factors in Cryptocurrency (2022)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)On interpreting security returns during the ex-dividend period (1984)Tax-induced trading around ex-dividend days (1986)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)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)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Does Academic Research Destroy Stock Return Predictability? (2015)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1998Taxes, Financing Decisions, and Firm Value1,037 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
  • 1970TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY796 cited
  • 1978Dividends and taxes760 cited
  • 1982Dividends and Taxes: Some Empirical Evidence677 cited
  • 1982The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects?447 cited
  • 1982The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect440 cited
  • 1981The incidence and allocation effects of a tax on corporate distributions388 cited
  • 1977THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES372 cited
  • 1978Public Policy and the Corporation.298 cited
  • 1984New Evidence That Taxes Affect the Valuation of Dividends287 cited
  • 1998Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes269 cited

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  • 1998Ex dividend day stock price behavior: discreteness or tax-induced clienteles?249 cited
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    • 2007Is There a Disposition Effect in Corporate Investment Decisions? Evidence from Real Estate Investment Trusts37 cited
    • 2006Why Do REITs Repurchase Stock? Extricating the Effect of Managerial Signaling in Open Market Share Repurchase Announcements33 cited
    • 2008Real Earnings Management and Dividend Payout Signals: A Study for U.S. Real Estate Investment Trusts25 cited
    • 2004Do Stock Prices Really Reflect Fundamental Values? The Case of REITs25 cited