Replication data for: On the Timing and Pricing of Dividends: Reply

Principal Investigator(s):  View help for Principal Investigator(s) Jules H. van Binsbergen; Ralph S. J. Koijen

Version:  View help for Version V1

Name File Type Size Last Modified
  Code-AER-reply---public 10/12/2019 06:15:AM
LICENSE.txt text/plain 14.6 KB 10/12/2019 02:15:AM

Project Citation: 

van Binsbergen, Jules H., and Koijen, Ralph S. J. Replication data for: On the Timing and Pricing of Dividends: Reply. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113139V1

Project Description

Summary:  View help for Summary Schulz (2016) replicates the findings of van Binsbergen, Brandt, and Koijen (2012)--henceforth, BBK--and agrees that the average pretax returns on short-term dividend strips are higher than those of the index, but argues that the after-tax returns are not. He thus provides a possible economic interpretation of the results in BBK: taxes. Schulz (2016) estimates the differential tax rates of dividends versus capital gains from ex-dividend day returns. We show that these estimated tax rates are suspect and imprecisely measured, peaking at over 100 percent in some periods. The results in BBK are robust to using tax rates from the literature (Sialm 2009). The arguments in Schulz (2016) thus crucially depend on implausibly large tax estimates. We further discuss two other financial market imperfections discussed in the literature and show that they are also unlikely to explain the results in BBK.

Scope of Project

JEL Classification:  View help for JEL Classification
      G11 Portfolio Choice; Investment Decisions
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G35 Payout Policy


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V1 [2019-10-12]

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