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Dividend yields and stock returns: Implications of abnormal January returns

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  • Keim, Donald B.

Abstract

This study examines the empirical relation between stock returns and (long-run) dividend yields. The findings show that much of the phenomenon is due to a non-linear relation between dividend yields and returns in January. Regression coefficients on dividend yields, which some models predict should be non-zero due to differential taxation of dividends and capital gains, exhibit a significant January seasonal, even when controlling for size. This finding is significant since there are no provisions in the after-tax asset pricing models that predict the tax differential is more important in January than in other months.
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  • Keim, Donald B., 1985. "Dividend yields and stock returns: Implications of abnormal January returns," Journal of Financial Economics, Elsevier, vol. 14(3), pages 473-489, September.
    • Handle: RePEc:eee:jfinec:v:14:y:1985:i:3:p:473-489
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