The Ex–Dividend Pricing of REITs

William G. Hardin, Kartono Liano and Gow–cheng Huang

Real Estate Economics, 2002, vol. 30, issue 4, 533-549

Abstract: Past studies have shown that ex–dividend stock prices are not fully reflective of dividend payments. A tax–induced clientele effect and micromarket limitations in stock pricing have been used to explain this pricing anomaly. This study focuses on the ex–dividend behavior of real estate investment trusts (REITs). Due to a low correlation between dividend size and dividend yield, REITs permit a cleaner examination of a tax–induced clientele effect. The results indicate that tick constraints in pricing ex–dividend stocks create the appearance of a tax–induced clientele effect in REITs when none should exist.

Date: 2002
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