The Market Value of UK Dividends From Shares With Differing Entitlements
利用同一小时内交易的、除股息权利外完全相同的股票价格，估计英国股息的市场价值，发现除息日方法存在向下偏差，且股息价值异质，不能用税收客户假说解释。
Abstract: This paper determines the market value of dividends in the UK during periods before and after 1997. Previous studies, which use the ex‐dividend day method, tend to provide noisy and potentially biased measures of dividend value. We estimate the value of dividends from the prices of shares that are identical except for their dividend entitlements, and are traded concurrently (within the same hour). We argue that our estimates of dividend value are the cleanest yet available for the UK. Our evidence suggests that ex‐dividend day estimates are biased downwards, but that this bias may be mitigated by the use of robust regression. Dividend values are heterogeneous and are not explained by the tax‐clientele hypothesis.