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Testing Dividend Signalling Models

Bernhardt, Dan and Robertson, J. Fiona (1993) Testing Dividend Signalling Models. Social Science Working Paper, 828. California Institute of Technology , Pasadena, CA. (Unpublished)

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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.

Item Type:Report or Paper (Working Paper)
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Alternate Title:Testing dividend signaling models
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.
Group:Social Science Working Papers
Funding AgencyGrant Number
Social Sciences and Humanities Research Council (SSHRC)UNSPECIFIED
Subject Keywords:Dividends, Stock splits, Securities markets, Stock prices, Remainders, Securities returns, Investment return rates, Security prices, Financial securities, Mean absolute deviation
Series Name:Social Science Working Paper
Issue or Number:828
Record Number:CaltechAUTHORS:20170825-163157890
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:80823
Deposited By: Jacquelyn Bussone
Deposited On:28 Aug 2017 20:41
Last Modified:03 Oct 2019 18:35

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