Dividend yields and stock returns: Implications of abnormal January returns |
| |
Authors: | Donald B Keim |
| |
Institution: | University of Pennsylvania, Philadelphia, PA 19104 USA |
| |
Abstract: | This study examines the empirical relation between stock returns and (long-run) dividend yields. The findings show that much of the phenomenon is due to a nonlinear relation between dividend yields and returns in January. Regression coefficients on dividend yields, which some models predict should be non-zero due to differential taxation of dividends and capital gains, exhibit a significant January seasonal, even when controlling for size. This finding is significant since there are no provisions in the after-tax asset pricing models that predict the tax differential is more important in January than in other months. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|