Dahlquist, Magnus; Robertsson, Göran; Rydqvist, Kristian - C.E.P.R. Discussion Papers - 2006
dividend yields on these portfolios are systematically related to investors' relative tax preferences for dividends versus … capital gains. Tax-neutral investors earn 40 basis points higher dividend yield on their portfolios than investors which face … higher effective taxation of dividends than capital gains. We conclude that there are dividend tax clienteles in the market …