Time Variation of Ex‐Dividend Day Stock Returns and Corporate Dividend Capture: A Reexamination
发现高股息率股票在除息日的异常回报在协商佣金费率引入后每年均为负，且其时间变化与公司基于税收的股利捕获行为一致。
This paper documents some empirical facts about ex‐day abnormal returns to high dividend yield stocks that are potentially subject to corporate dividend capture. We find that average abnormal ex‐dividend day returns are uniformly negative in each year after the introduction of negotiated commission rates and that time variation in ex‐day returns during the negotiated commission rates era is consistent with corporate tax‐based dividend capture. Ex‐day returns are more negative when the tax advantage to corporate dividend capture is greatest and more positive when increases in transaction costs and risk reduce incentives to engage in corporate tax‐based dividend capture.