Dividends and Taxes: A Re-Examination
重新检验股息与资本利得的差别税收对资产价格的影响，发现以往归因于股息的回报变化主要来自时间序列而非截面差异，因此将股息发放前后的高回报解释为税收效应存在问题。
This study re-examines the impact of the differential taxation of dividends and capital gains on assets prices. Our analysis shows that the time horizon used to define and measure the dividend period is a key issue when interpreting the empirical results. Our results indicate that most of the return variation previously attributed to dividends is not because of a cross-sectional variation in returns, but due to the time-series variation in returns around the dividend payment. In light of the lack of cross-sectional return variation, interpreting the higher return around the dividend distribution as a tax effect is problematic.