Abstract
This paper uses ex‐dividend day returns to show that corporate dividend capture in utility stocks depends upon transaction costs, the three month treasury bill rate, unsystematic risk and dividend yield. The paper finds that the data do not support the same determinants for dividend capture in non‐utility stocks. Tests on data from before and after the Tax Reform Act of 1986 do not show conclusively that the Tax Reform Act reduced the prevalence of dividend capture.
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