Journal of Financial Economics Vol. 13 No. 1 1984
On interpreting security returns during the ex-dividend period
Abstract
In this paper we examine the ex-dividend day returns of several taxable and non-taxable distributions. The ex-dividend day returns for the taxable common stocks are consistent with the hypothesis that dividends are taxed more heavily than capital gains. However, the ex-dividend day returns of preferred stocks suggest that preferred dividends are taxed at a lower rate than capital gains; non-taxable stock dividends and splits are priced on ex-dividend days as if they are fully taxable; and non-taxable cash distributions are priced as if investors receive a tax rebate with them. We also find that each of these distributions exhibits abnormal return behavior for several days surrounding the ex-dividend day. We investigate several possible explanations for this anomaly, but none is capable of explaining the phenomenon.
- DOI
- 10.1016/0304-405x(84)90030-8
- Volume
- 13
- Issue
- 1
- Pages
- 3-34
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref