Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes

• 成果类型: Article
• 署名作者: Frank, M; Jagannathan, R
• 署名单位: University of British Columbia; Northwestern University; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(97)80053-0
• 发表日期: 1998
• 页码: 161-188
• 关键词: Asset pricing; Dividends; Bid-ask spread; Market microstructure

摘要

It is well documented that stock prices on ex-dividend days drop by less than the value of the dividend, on average. This has commonly been attributed to the effect of tax clienteles. We examine data from the Hong Kong stock marker, where neither dividends nor capital gains are taxed. As in the U.S., the average stock price drop is less than the value of the dividend. specifically, the average dividend for the period 1980-1993 is HK $0.12 and the average price drop is HK $0.06. We are able to account for this both theoretically and empirically through market microstructure arguments. (C) 1998 Elsevier Science S.A. All rights reserved.