Journal of Financial Economics
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Опубликовано на портале: 02-10-2003
Michael J. Barclay
Journal of Financial Economics.
1987.
Vol. 19.
No. 1.
P. 31-44.
This study examines the ex-dividend day behavior of common stock prices before the
enactment of the federal income tax. On ex-dividend days during the pre-tax period,
stock prices fell, on average, by the full amount of the dividend. The data are consistent
with the hypothesis that (i) investors in the pre-tax period value dividends and
capital gains as perfect substitutes and (ii) the differential taxation of dividends
and capital gains has since caused investors to discount the value of taxable cash
dividends in relation to capital gains.
Опубликовано на портале: 03-10-2003
Shmuel Kandel, Robert F. Stambaugh
Journal of Financial Economics.
1987.
Vol. 18.
No. 1.
P. 61-90.
A framework is presented for investigating the mean-variance efficiency of an unobservable
portfolio based on its correlation with a proxy portfolio. A sensitivity analysis
derives the highest correlation between the proxy and a portfolio that reverses the
inference of a test of SHarpe-Lintner tangency. For example, the maximum correlation
between the value-weighted NYSE-AMEX portfolio and a portfolio inferred tangent ranges
from 0.76 to 0.48. We also test whether the correlation between the proxy and the
tangent portfolio exceeds a given level. This hypothesis is often rejected for the
NYSE-AMEX proxy at a correlation of 0.7.
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