Juicing the dividend yield: Mutual funds and the demand for dividends

• 成果类型: Article
• 署名作者: Harris, Lawrence E.; Hartzmark, Samuel M.; Solomon, David H.
• 署名单位: University of Southern California; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.04.001
• 发表日期: 2015
• 页码: 433-451
• 关键词: dividends; Mutual funds; behavioral finance; payout policy

摘要

Some mutual funds purchase stocks before dividend payments to artificially increase their dividends, which we call juicing. Funds paid more than twice the dividends implied by their holdings in 7.4% of fund-years examined. Juicing is associated with larger inflows, and is more common among funds with unsophisticated investors. This behavior is consistent with an underlying investor demand for dividends, but is hard to explain by taxes or need for income, as funds can generate equivalent tax-free distributions by returning capital. Juicing is costly to investors through higher turnover and increased taxes of 0.57% to 1.52% of fund assets per year. (C) 2015 Elsevier B.V. All rights reserved.