Time‐Series Variation in Dividend Pricing
研究发现除息日收益率随时间变化，高股息股票收益率有时为正有时为负，低股息股票始终为正且波动较小；税收变化无法解释，但佣金协商引入有显著影响，且股息价格呈逆周期。
ABSTRACT Ex‐dividend day returns vary over time. The ex‐day returns of high‐yield stocks are persistently positive for some time periods and negative for others; in contrast, ex‐day returns of low‐yield stocks are always positive and less variable. We are unable to explain the variation with changes in the tax code, but we do find a strong effect for the introduction of negotiated commissions. We find evidence that corporate dividend capturing is affecting ex‐day returns and confirm the findings of Gordon and Bradford (1980) that the price of dividends is countercyclical.