On the Timing and Pricing of Dividends: Reply

Jules van Binsbergen and Ralph S. J. Koijen

American Economic Review, 2016, vol. 106, issue 10, 3224-37

Abstract: Schulz (2016) replicates the findings of van Binsbergen, Brandt, and Koijen (2012)--henceforth, BBK--and agrees that the average pretax returns on short-term dividend strips are higher than those of the index, but argues that the after-tax returns are not. He thus provides a possible economic interpretation of the results in BBK: taxes. Schulz (2016) estimates the differential tax rates of dividends versus capital gains from ex-dividend day returns. We show that these estimated tax rates are suspect and imprecisely measured, peaking at over 100 percent in some periods. The results in BBK are robust to using tax rates from the literature (Sialm 2009). The arguments in Schulz (2016) thus crucially depend on implausibly large tax estimates. We further discuss two other financial market imperfections discussed in the literature and show that they are also unlikely to explain the results in BBK.

JEL-codes: G11 G12 G35 (search for similar items in EconPapers)
Date: 2016
Note: DOI: 10.1257/aer.20160698
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://www.aeaweb.org/articles?id=10.1257/aer.20160698 (application/pdf)
https://www.aeaweb.org/content/file?id=2369 (application/zip)
https://www.aeaweb.org/articles/attachments?retrie ... g_uYgxAwKRucURAfVT_h (application/zip)
Access to full text is restricted to AEA members and institutional subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aea:aecrev:v:106:y:2016:i:10:p:3224-37

Ordering information: This journal article can be ordered from
https://www.aeaweb.org/journals/subscriptions

Access Statistics for this article

American Economic Review is currently edited by Esther Duflo

More articles in American Economic Review from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().