Time-Series Variation in Dividend Pricing

Kenneth M Eades, Patrick J Hess and E Han Kim

Journal of Finance, 1994, vol. 49, issue 5, 1617-38

Abstract: Ex-dividend day returns vary over time. The ex-day returns of high-yield stocks are persistently positive for some time periods and negative for others; in contrast, ex-day returns of low-yield stocks are always positive and less variable. The authors are unable to explain the variation with changes in the tax code but they do find a strong effect for the introduction of negotiated commissions. The authors find evidence that corporate dividend capturing is affecting ex-day returns and confirm the findings of R. H. Gordon and D. F. Bradford (1980) that the price of dividends is countercyclical. Copyright 1994 by American Finance Association.

Date: 1994
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