Time variation of ex-dividend day stock returns and corporate dividend capture: A reexamination

This paper documents some empirical facts about ex-day abnormal returns to high dividend yield stocks that are potentially subject to corporate divide nd capture. We find that average abnormal ex-dividend day returns are unifo rmly negative in each year after the introduction of negotiated commission rates and that time variation in ex-day returns during the negotiated commi ssion rates era is consistent with corporate tax-based dividend capture. Ex -day returns are more negative when the tax advantage to corporate dividend capture is greatest and more positive when increases in transaction costs and risk reduce incentives to engage in corporate tax-based dividend captur e.