Published March 1993
| Submitted
Working Paper
Open
Testing Dividend Signalling Models
- Creators
- Bernhardt, Dan
- Robertson, J. Fiona
Chicago
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Abstract
This paper derives a key monotonicity property common to all dividend signaling models: the greater the rate that dividend income is taxed relative to capital gains income, the greater the value of information revealed by a given dividend, and hence the greater the associated excess return. This monotonicity condition is tested with robust non-parametric techniques. No evidence is found to support dividend signaling models. The same results are inconsistent with tax-based CAPM arguments.
Additional Information
We are very grateful to Ray Farrow for his extensive help on the first three sections of the paper and for the very generous provision of his time to this project. We also appreciate Jeff Strnad's comments and suggestions. The first author acknowledges support from the SSHRC. All errors remain our own. Published as Bernhardt, Dan, Alan Douglas, and Fiona Robertson. "Testing dividend signaling models." Journal of Empirical Finance 12, no. 1 (2005): 77-98.Attached Files
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Additional details
- Alternative title
- Testing dividend signaling models
- Eprint ID
- 80823
- Resolver ID
- CaltechAUTHORS:20170825-163157890
- Social Sciences and Humanities Research Council (SSHRC)
- Created
-
2017-08-28Created from EPrint's datestamp field
- Updated
-
2019-10-03Created from EPrint's last_modified field
- Caltech groups
- Social Science Working Papers
- Series Name
- Social Science Working Paper
- Series Volume or Issue Number
- 828