Stock Returns, Dividend Yields, and Taxes
用改进的股息收益率指标，发现1963至1994年间纽约证券交易所股票的风险调整后收益随股息收益率上升而增加，该效应无法用税收惩罚或已知异象解释，且主要由小市值和零股息股票驱动。
Using an improved measure of a common stock's annualized dividend yield, we document that risk‐adjusted NYSE stock returns increase in dividend yield during the period from 1963 to 1994. This relation between return and yield is robust to various specifications of multifactor asset pricing models that incorporate the Fama–French factors. The magnitude of the yield effect is too large to be explained by a “tax penalty” on dividend income and is not explained by previously documented anomalies. Interestingly, the effect is primarily driven by smaller market capitalization stocks and zero‐yield stocks.