Working Paper: NBER ID: w0817
Authors: Alan J. Auerbach
Abstract: This paper develops a rigorous theoretical model to assess when investor clienteles may be empirically identified using ex dividend day data and what firm attributes these clienteles should respond to. It then presents empirical results for the period 1963-1977 suggesting that (1) tax-based investor clienteles do exist, and are reasonably stable over time (2) these clienteles are strongly influenced by the dividend-price ratio, but insignificantly by direct measures of risk and other firm characteristics.
Keywords: No keywords provided
JEL Codes: No JEL codes provided
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| stockholder tax rates (H24) | tax-based investor clienteles (H20) |
| dividend-price ratio (G35) | likelihood of high-bracket investors holding low-dividend stocks (G35) |
| risk characteristics (G22) | tax-based investor clienteles (H20) |
| firm characteristics (L20) | tax-based investor clienteles (H20) |