Dividends and Taxes: Some Empirical Evidence
重新检验了高股息收益率股票是否因股息税负高于资本利得税而获得更高风险调整回报率的实证研究，指出使用短期股息收益率指标来推断长期税收差异是不恰当的，并发现相关效应源于股息公告效应带来的偏差。
This paper reexamines some recent tests of whether holders of shares with higher dividend yields receive higher risk-adjusted rates of return to compensate for the heavier taxes on dividend payments than on long-term capital gains. Our particular concern is with tests using short-run measures of dividend yield--that is, measures that seek to deduce the differential tax burden on dividends over long-term capital gains from differences in rates of return on shares that do not pay a cash dividend during the return interval. We show that such measures are inappropriate for that purpose. Any yield-related effects associated with such measures must arise from sources other than the long-term tax differential. For the short-run measures considered here, the yield-related effects found in some tests are traced to biases, one of a fairly subtle kind, introduced by dividend announcement effects.