37365 26 archive 8991 disk0/00/03/73/65 2007-03-01 2024-03-15 07:58:47 2010-03-26 20:47:42 article show S.H.Thomas@soton.ac.uk 0 pub none UK dividend yield, size, seasonality, taxes 1998 Journal of Banking and Finance 10.1016/S0378-4266(98)00002-8 TRUE 0378-4266 a3e5792a-418f-4b9e-a7e1-561d3543071b 22 4 10.1016/S0378-4266(98)00002-8 0378-4266 print uos-tr:2292 Morgan G. 837bc55b-850e-4f6d-9253-e38781bf5f1e FALSE Thomas S. 0f83004b-179e-4b71-8374-25345d0e9dad FALSE http://www.loc.gov/loc.terms/relators/AUT Morgan G. 837bc55b-850e-4f6d-9253-e38781bf5f1e FALSE http://www.loc.gov/loc.terms/relators/AUT Thomas S. 0f83004b-179e-4b71-8374-25345d0e9dad FALSE HD28 HF5601 HJ The higher rate of taxation on dividend income relative to capital gains has been offered as an explanation for the positive relation between stock returns and dividend yields among US firms. In the UK the relative tax rates are the reverse of those in the US. Thus, UK data provides an independent test of the tax-based approach to explaining the relation between stock returns and dividend yields. We find that high yielding stocks earn positive risk adjusted returns, whereas low yielding stocks earn negative risk adjusted returns. We also detect evidence of non-linearity in the performance of zero-dividend stocks. Controlling for firm size, seasonality and market risk we find a significant positive relation between dividend yields and returns. We conclude that the evidence is inconsistent with a tax-based explanation. published 405-423 eng Management 1d4213f9-7b3e-4051-b0b8-025a39d0f361 info:eu-repo/semantics/article 1998 published 304 2007-03-01