We characterize the joint dynamics of expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, the stock volatility determines the expected return and the price-dividend ratio. By parameterizing one, or more, of exp...

It is widely held that for tax reasons corporate shareholders are the only shareholders that prefer dividends to capital gains. This has led to clientele models where corporate blockholders migrate to firms paying dividends and use their voting power to increase dividends in these firms. We use panel data and trades of large blocks of stock to investigate these propositions. Although one-third ...

The paper analyses the determinants of dividend payments and tests the hypothesis that companies pay dividends at the expense of investing in research and development (R&D). The evidence suggests that four fundamental factors – size, growth, profitability and risk – determine the decision to pay dividends but also to invest in R&D. Consistent with previous evidence, the average R&D intensity of...

T he U.S. government subjects corporate dividends to double taxation: It first taxes corporate income, then taxes the same income again when shareholders receive dividends paid out of corporate income. Until 2003, individuals were taxed on dividend income at the same rates as on other forms of income, resulting in overall taxes on dividends much higher than those in most other countries (PriceW...

We derive a general formula for the futures price process without the restriction that the assets used in the future margin account are continuous and of finite variation. To do so, we model tradeable securities with dividends which are not necessarily cash dividends at fixed times or continuously paid dividends. A future contract can then be modelled as an asset which pays dividends but has ze...

How do dividend taxes affect firm behavior and what are their distributional and efficiency effects? To answer these questions, the first problem is coming up with an explanation for why firms pay dividends, in spite of their tax penalty. This paper surveys three different models for why firms pay dividends, and then uses each model to examine the behavioral and efficiency effects of dividend t...

the current study aims to investigate the relationship between stock liquidity risk and financial information quality criteria (i.e. the timely dividends announcement, accruals quality and the percentage of profitability prediction error) of companies listed on the tehran stock exchange. for this purpose, 148 cases of data from listed companies, collected from 2007 to 2012, were employed in ord...