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，但佣金协商有显著影响，且股息价格呈逆周期。
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.