Dividend Size, Yield, Clienteles and REITs

摘要

Dividend size and dividend yield are typically highly correlated which substantially hinders the empirical assessment of ex-dividend stock pricing. The ability to disentangle the joint effect of dividend yield and dividend size on ex-dividend stock prices is thus of central importance in assessing existing theories. Fortunately, the REIT asset class provides data having a low correlation between dividend size and dividend yield allowing for a cleaner assessment of the extant theories. Evidence from the present study indicates that results that are typically interpreted as confirmatory of the tax-induced clientele effect may be spurious. Instead, transaction costs and limit order adjustments are likely the determinants of the observed relationships between the change in price to dividend ratio, dividend yield, and dividend size.