@article{85a5fc57e5354c209b6d8bd4f7770870,
title = "Preference for dividends and return comovement",
abstract = "Stocks that initiate dividends tend to comove more with other dividend-paying stocks and comove less with non-dividend payers. This is also true for: (a) dividend initiations that are motivated by the exogenous 2003 dividend tax cut; and (b) the cash dividend share class of Citizens Utilities (relative to its stock dividend class). We find that flows to dividend prone (averse) mutual funds increase the comovement among dividend-paying (non-dividend paying) stocks. Overall, the evidence supports the proposition that the trading of pro-dividend (dividend-averse) clienteles induces an extra factor in dividend payers (non-payers), beyond those associated with changes in common factors.",
keywords = "Comovement, Dividend, Dividend clientele, Style investing",
author = "Allaudeen Hameed and Jing Xie",
note = "Funding Information: We would like to thank Willian Schwert (the editor), an anonymous referee, Sudipto Dasgupta, Qianqian Du, Cesare Fracassi, Mark Grinblatt, Jia Hao, David Hirshleifer, Christian Lundblad, Harold Mulherin, Andy Puckett, Danjue Shang, Jay Shanken, Laura Starks, Matti Suominen, Avanidhar Subrahmanyam, Sheridan Titman, Di Wu, Dong Yan, Jianfeng Yu, seminar participants at Aalto University, Chinese University of Hong Kong, ESADE, Lancaster University, National University of Singapore, University of Adelaide, University of Hawaii, University of Hong Kong, University of Queensland, University of Texas at Austin, participants at China International Conference in Finance, Asian Financial Association conference, Hong Kong Joint Finance Research Workshop, Conference on Asia-Pacific Financial Markets, and 2018 Financial Management Association conferences for helpful comments. Hameed is grateful to NUS Academic Research Grants for financial support. Xie is grateful to Hong Kong Polytechnic University Start-up Research Grant for financial support. All errors are our own. Funding Information: We would like to thank Willian Schwert (the editor), an anonymous referee, Sudipto Dasgupta, Qianqian Du, Cesare Fracassi, Mark Grinblatt, Jia Hao, David Hirshleifer, Christian Lundblad, Harold Mulherin, Andy Puckett, Danjue Shang, Jay Shanken, Laura Starks, Matti Suominen, Avanidhar Subrahmanyam, Sheridan Titman, Di Wu, Dong Yan, Jianfeng Yu, seminar participants at Aalto University, Chinese University of Hong Kong, ESADE, Lancaster University, National University of Singapore, University of Adelaide, University of Hawaii, University of Hong Kong, University of Queensland, University of Texas at Austin, participants at China International Conference in Finance, Asian Financial Association conference, Hong Kong Joint Finance Research Workshop, Conference on Asia-Pacific Financial Markets, and 2018 Financial Management Association conferences for helpful comments. Hameed is grateful to NUS Academic Research Grants for financial support. Xie is grateful to Hong Kong Polytechnic University Start-up Research Grant for financial support. All errors are our own. Publisher Copyright: {\textcopyright} 2018",
year = "2019",
month = apr,
doi = "10.1016/j.jfineco.2018.09.012",
language = "English",
volume = "132",
pages = "103--125",
journal = "Journal of Financial Economics",
issn = "0304-405X",
publisher = "Elsevier",
number = "1",
}