Options, Taxes, and Ex‐Dividend Day Behavior
利用1979至1984年英国期权市场数据，通过期权价格估算除息日股价预期下跌幅度，发现其约为股利的55%至60%，且与股利收益率负相关，支持税收客户假说。
ABSTRACT A novel way of estimating the expected as opposed to the actual share price fall‐off is developed using option prices. This method is applied to the UK Traded Options Market using data from 1979 to 1984. The results show that: (a) the average expected fall‐off implicit in option prices is around 55 to 60% of the dividend and significantly different from it. The fall‐off also varied inversely with the dividend yield, which is consistent with the prediction of the “tax clientele hypothesis.” (b) The estimates of the expected fall‐off were not significantly different from the actual fall‐off. (c) Finally, the results imply that the usual assumption made in valuing options on dividend‐paying stocks, that the fall‐off is equal to the dividend, would lead to downward‐biased estimates of the option value.