Dividend Size, Yield, Clienteles and REITS

Posted: 30 Aug 2012

See all articles by William G. Hardin

William G. Hardin

Florida International University (FIU) - College of Business Administration

Kartono Liano

Mississippi State University - Department of Finance and Economics

Gow-Cheng Huang

Alabama State University - Department of Accounting and Finance

Date Written: August 29, 2012

Abstract

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.

Keywords: Ex-dividend, Tax-induced clientele, REIT, Market microstructure, Limit order, Discreteness

JEL Classification: G10, G14

Suggested Citation

Hardin, William G. and Liano, Kartono and Huang, Gow-Cheng, Dividend Size, Yield, Clienteles and REITS (August 29, 2012). Journal of Real Estate Finance and Economics, Vol. 45, No. 2, 2012. Available at SSRN: https://ssrn.com/abstract=2138168

William G. Hardin (Contact Author)

Florida International University (FIU) - College of Business Administration ( email )

Miami, FL 33199
United States

Kartono Liano

Mississippi State University - Department of Finance and Economics ( email )

P.O. Box 9580
Mississippi State, MS 39762
United States
601-325-1981 (Phone)
601-325-1977 (Fax)

Gow-Cheng Huang

Alabama State University - Department of Accounting and Finance ( email )

P.O. Box 271
Montgomery, AL 36101-0271
United States
334-229-6920 (Phone)
334-265-0914 (Fax)

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