The Ex‐Dividend Day Behavior of Stock Prices: A Re‐Examination of the Clientele Effect

  • Author(s): AVNER KALAY
  • Published: Apr 30, 2012
  • Pages: 1059-1070
  • DOI: 10.1111/j.1540-6261.1982.tb03598.x


Past studies have documented an ex‐dividend day price drop which is less than the dividend per share and positively correlated with the corresponding dividend yield. In contrast to prior work, we show that, without additional information, the marginal tax rates cannot be inferred from this phenomenon which is, therefore, not necessarily the result of a tax induced clientele effect. Despite adjustments for potential biases in earlier work, however, the correlation between the ex‐dividend relative price drop and the dividend yield is still positive which is consistent with a tax effect and a tax induced clientele effect.

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