计量经济分析 = Econometric analysis

https://w4.stern.nyu.edu/finance/docs/WP/2000/pdf/wpa00041.pdf

Illiquidity and stock returns: cross-section and time-series effects $

New tests are presented on the effects of stock illiquidity on stock return. Over time, expected market illiquidity positively affects ex ante stock excess return (usually called â¬Srisk premiumâ¬?). This complements the positive cross-sectional return-illiquidity relationship. The illiquidity measure here is the average daily ratio of absolute stock return to dollar volume, which is easily obtained from daily stock data for long time series in most stock markets. Illiquidity affects more strongly small firms stocks, suggesting an explanation for the changes â¬Ssmall firm effectâ¬? over time. The impact of market illiquidity on stock excess return suggests the existence of illiquidity premium and helps explain the equity premium puzzle.

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects

The investment opportunity set and corporate financing, dividend, and compensation policies☆

Companies issuing stock during 1970 to 1990, whether an initial public offer ng or a seasoned equity offering, have been poor long-run investments for investors. During the five years after the issue, investors have received average returns of only 5 percent per year for companies going public and only 7 percent per year for companies conducting a seasoned equity offer. Book-to-market effects account for only a modest portion of the low returns. An investor would have had to invest 44 percent more money in the issuers than in nonissuers of the same size to have the same wealth five years after the offering date. IN THIS ARTICLE, WE show that companies issuing stock during 1970 to 1990, whether an initial public offering (IPO) or a seasoned equity offering (SEO), significantly underperform relative to nonissuing firms for five years after the offering date. The average annual return during the five years after issuing is only 5 percent for firms conducting IPOs, and only 7 percent for firms conducting SEOs. While evidence that firms going public subsequently underperform has been documented previously, our evidence that the same pattern holds for firms conducting SEOs is new. The magnitude of this underperformance is economically important: based upon the realized returns, an investor would have had to invest 44 percent more money in the issuers than in nonissuers of the same size to have the same wealth five years after the offering date. Surprisingly, this number is the same for both IPOs and SEOs. While the difference in returns between issuers and nonissuers on which the 44 percent number is based only holds

https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.1995.tb05166.x

The New Issues Puzzle

Past studies have documented an ex-dividend day price drop which is less than the dividend per share and positively correlated with the corresponding dividend yield. In contrast to prior work, we show that, without additional information, the marginal tax rates cannot be inferred from this phenomenon which is, therefore, not necessarily the result of a tax induced clientele effect. Despite adjustments for potential biases in earlier work, however, the correlation between the ex-dividend relative price drop and the dividend yield is still positive which is consistent with a tax effect and a tax induced clientele effect. THE EFFECT OF DIVIDEND policy on stock prices is an issue of growing interest and controversy in the financial literature. As Miller and Modigliani [19] show, if capital markets are perfect the dividend policy of the firm, for a given investment policy, does not affect its market value. However, in a world in which dividends are taxed more heavily than capital gains, investors may demand higher before-tax returns to hold securities with high dividend yield.' Furthermore, in such a world, investors could form "clienteles" each preferring a particular dividend yield.2 In particular, investors in high income tax brackets might find it advantageous to hold low dividend yield stocks, while those in lower income tax brackets concentrate their holdings in high dividend yield stocks.3 Although the notion of a tax-induced clientele effect has intuitive appeal, there are serious questions as to its existence. Long [18] pointed out that the portfolio dividend yield choice cannot be made independently of the risk expected return trade off, since the dividend yield of all mean variance efficient portfolios is a linear function of their nondiversifiable risk. If, for example, dividend yield is positively correlated with risk, and wealthy investors have high tolerance to risk, they may hold high dividend yield portfolios even though they pay a higher tax on dividend income than on capital gains. Furthermore, as Miller and Scholes

The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect

Stockholder-bondholder conflict and dividend constraints

Predictable events and excess returns: The case of dividend announcements

Wealth redistributions or changes in firm value

Managerial aversion to reduce dividends is not only an assertion to be found in the financial literature (see, for example, [2], [4], [8], [9]), but is also the basis for the informational content of dividends hypothesis (see [8]). Furthermore, its existence, if known to investors, can explain dividend payments which involve tax and transaction related costs. Surprisingly, the empirical evidence on this assertion is less than satisfactory. This study examines the existing empirical evidence on this assertion and points out its limitations. A new test, that can refute the informational content associated with the reluctance to cut dividends, is then performed.

Avner Kalay

Papers

The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect

Stockholder-bondholder conflict and dividend constraints

Predictable events and excess returns: The case of dividend announcements

Wealth redistributions or changes in firm value

Signaling, Information Content, and the Reluctance to Cut Dividends