The market value of UK dividends from shares with differing entitlements

Seth Armitage, Lynn Hodgkinson, Graham Partington

    Research output: Contribution to journalArticle

    12 Citations (Scopus)

    Abstract

    This paper determines the market value of dividends in the UK during periods before and after 1997. Previous studies, which use the exdividend day method, tend to provide noisy and potentially biased measures of dividend value. We estimate the value of dividends from the prices of shares that are identical except for their dividend entitlements, and are traded concurrently within the same hour. We argue that our estimates of dividend value are the cleanest yet available for the UK. Our evidence suggests that exdividend day estimates are biased downwards, but that this bias may be mitigated by the use of robust regression. Dividend values are heterogeneous and are not explained by the taxclientele hypothesis. © 2006 Blackwell Publishing Ltd.

    Original languageEnglish
    Pages (from-to)220-244
    Number of pages25
    JournalJournal of Business Finance and Accounting
    Volume33
    Issue number1-2
    DOIs
    Publication statusPublished - Jan 2006

    Keywords

    • Dividend value
    • Ex-dividend day method
    • Market microstructure
    • Personal taxes

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