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Finance and Economics Discussion Series: Data for paper 2010-34

Effects of the 2003 Dividend Tax Cut: Evidence from Real Estate Investment Trusts

Jesse Edgerton

Figure 1: Market Capitalization of Publicly-Traded REITS by Sector

Sector Percent of Total Market Cap, July 31, 1999 Percent of Total Market Cap, December 31, 2002 Percent of Total Market Cap, December 31, 2006
Retail 20.767645 24.953239 24.923557
Residential 18.578378 18.43603 15.527236
Office 17.563845 17.325169 16.78255
Industrial 11.670164 11.77568 8.3563333
Diversified 9.4884026 8.0207364 8.0779907
Lodging 6.1672442 4.6407345 6.3034276
Health 4.956356 4.7833583 5.0717131
Mortgage 4.1878273 3.7682457 6.1209823
SelfStorage 3.559133 2.8345487 4.2858514
Specialty 3.0610087 3.4622552 4.5503587

Figure 2: Aggregate Regular Dividend Payouts, Full Sample- Panel a: NonREIT

Quarter Aggregate Regular Dividend Payouts, NonREITS (Billions of 2006 Dollars)
1998q1 27.54743
1998q2 27.90403
1998q3 27.36249
1998q4 28.30077
1999q1 27.71088
1999q2 28.79739
1999q3 27.61574
1999q4 28.73101
2000q1 28.26911
2000q2 27.58149
2000q3 27.28062
2000q4 29.39189
2001q1 27.7718
2001q2 26.90668
2001q3 27.35391
2001q4 28.80106
2002q1 28.21358
2002q2 27.87652
2002q3 28.09857
2002q4 28.78978
2003q1 29.92452
2003q2 28.83366
2003q3 29.51592
2003q4 33.10063
2004q1 31.94641
2004q2 32.59912
2004q3 33.6236
2004q4 34.18036
2005q1 36.5075
2005q2 37.12996
2005q3 36.45682
2005q4 37.57786
2006q1 39.91131
2006q2 38.44232
2006q3 37.10369
2006q4 38.65199
2007q1 40.2907
2007q2 41.57341
2007q3 40.84812
2007q4 43.51053

Figure 2: Aggregate Regular Dividend Payouts, Full Sample- Panel b: REIT

Quarter Aggregate Regular Dividend Payouts, REITS (Billions of 2006 Dollars)
1998q1 2.31181
1998q2 2.918958
1998q3 3.072029
1998q4 3.272919
1999q1 2.910568
1999q2 3.222472
1999q3 3.243664
1999q4 3.611273
2000q1 2.870254
2000q2 3.042971
2000q3 3.11613
2000q4 3.280413
2001q1 2.622503
2001q2 3.039885
2001q3 3.105994
2001q4 3.7473
2002q1 2.691931
2002q2 3.258894
2002q3 3.302334
2002q4 3.641707
2003q1 3.203455
2003q2 3.367438
2003q3 3.421752
2003q4 3.816486
2004q1 3.498977
2004q2 3.768059
2004q3 3.879768
2004q4 4.32861
2005q1 3.960457
2005q2 4.281615
2005q3 4.350466
2005q4 4.648012
2006q1 4.488962
2006q2 4.436777
2006q3 4.454427
2006q4 4.697145
2007q1 4.335507
2007q2 4.385054
2007q3 4.092597
2007q4 4.056525

Figure 2: Aggregate Regular Dividend Payouts, Full Sample- Panel c: NonREITs and REITs, Indexed 2002q3 = 100

Quarter Aggregate Regular Dividend Payouts, NonREITS, Indexed 2002q3=100 Aggregate Regular Dividend Payouts, REITS, Indexed 2002q3=100
1998q1 98.03853 70.00533
1998q2 99.30763 88.39077
1998q3 97.38036 93.026
1998q4 100.7196 99.10928
1999q1 98.62022 88.1367
1999q2 102.487 97.58165
1999q3 98.28164 98.2234
1999q4 102.2508 109.3552
2000q1 100.6069 86.91593
2000q2 98.15976 92.14607
2000q3 97.08898 94.36147
2000q4 104.6028 99.3362
2001q1 98.83705 79.41364
2001q2 95.75815 92.05262
2001q3 97.34981 94.05452
2001q4 102.5001 113.4743
2002q1 100.4093 81.51602
2002q2 99.20973 98.68458
2002q3 100 100
2002q4 102.4599 110.2768
2003q1 106.4984 97.0058
2003q2 102.6161 101.9715
2003q3 105.0442 103.6162
2003q4 117.8018 115.5694
2004q1 113.6941 105.9547
2004q2 116.017 114.1029
2004q3 119.663 117.4856
2004q4 121.6444 131.0773
2005q1 129.9265 119.929
2005q2 132.1418 129.6542
2005q3 129.7462 131.7392
2005q4 133.7358 140.7493
2006q1 142.0403 135.933
2006q2 136.8123 134.3528
2006q3 132.0483 134.8872
2006q4 137.5585 142.2372
2007q1 143.3905 131.2862
2007q2 147.9556 132.7865
2007q3 145.3743 123.9305
2007q4 154.8496 122.8382

Figure 3: Percent of Firms Paying Regular Dividend- Panel a: Constant size Sample of NonREITs

Quarter Percent of firms paying regular dividend, Constant-size sample of NonREITS
1998q1 0.2767244
1998q2 0.2739764
1998q3 0.270404
1998q4 0.2610607
1999q1 0.264908
1999q2 0.2580379
1999q3 0.2481451
1999q4 0.2324814
2000q1 0.2286342
2000q2 0.2291838
2000q3 0.2250618
2000q4 0.2148942
2001q1 0.2157186
2001q2 0.2126958
2001q3 0.2102226
2001q4 0.2085738
2002q1 0.2063754
2002q2 0.201429
2002q3 0.204177
2002q4 0.202803
2003q1 0.2093982
2003q2 0.2104974
2003q3 0.2168178
2003q4 0.2267106
2004q1 0.2371531
2004q2 0.2393515
2004q3 0.2440231
2004q4 0.2464963
2005q1 0.2530915
2005q2 0.2618851
2005q3 0.2558395
2005q4 0.2572135
2006q1 0.2566639
2006q2 0.2583127
2006q3 0.2539159
2006q4 0.2555647
2007q1 0.2588623
2007q2 0.2607859
2007q3 0.2547403
2007q4 0.2544655

Figure 3: Percent of Firms Paying Regular Dividend- Panel b: Constant size Sample of REITs

Quarter Percent of firms paying regular dividend, Constant-size sample of REITS
1998q1 0.8777778
1998q2 0.9333333
1998q3 0.9444444
1998q4 0.9277778
1999q1 0.8833333
1999q2 0.9166667
1999q3 0.9111111
1999q4 0.9277778
2000q1 0.8833333
2000q2 0.9166667
2000q3 0.9222222
2000q4 0.9055555
2001q1 0.8444445
2001q2 0.8777778
2001q3 0.8666667
2001q4 0.8833333
2002q1 0.7888889
2002q2 0.8388889
2002q3 0.8444445
2002q4 0.8388889
2003q1 0.8222222
2003q2 0.8611111
2003q3 0.85
2003q4 0.8388889
2004q1 0.8333333
2004q2 0.8722222
2004q3 0.8833333
2004q4 0.8833333
2005q1 0.9
2005q2 0.95
2005q3 0.9277778
2005q4 0.9277778
2006q1 0.9222222
2006q2 0.9666666
2006q3 0.9666666
2006q4 0.9444444
2007q1 0.9333333
2007q2 0.9213483
2007q3 0.8837209
2007q4 0.8780488

Figure 3: Percent of Firms Paying Regular Dividend- Panel c: 180 Largest Firms Sample, REITs and NonREITs

Quarter Percent of firms paying regular dividend, 180 largest firms sample of NonREITS Percent of firms paying regular dividend, 180 largest firms sample of REITS
1998q1 0.7666667 0.8666667
1998q2 0.7722222 0.9444444
1998q3 0.7666667 0.9444444
1998q4 0.7333333 0.9166667
1999q1 0.7277778 0.8722222
1999q2 0.7166666 0.9055555
1999q3 0.7 0.9
1999q4 0.6944444 0.9277778
2000q1 0.6777778 0.8888889
2000q2 0.6555555 0.9111111
2000q3 0.6555555 0.9055555
2000q4 0.6277778 0.8888889
2001q1 0.6277778 0.8277778
2001q2 0.6277778 0.8777778
2001q3 0.6222222 0.8666667
2001q4 0.65 0.8833333
2002q1 0.6666667 0.7944444
2002q2 0.6722222 0.8388889
2002q3 0.7 0.8388889
2002q4 0.6777778 0.8277778
2003q1 0.6888889 0.8166667
2003q2 0.6833333 0.85
2003q3 0.6888889 0.85
2003q4 0.6777778 0.8388889
2004q1 0.7055556 0.8388889
2004q2 0.7111111 0.8722222
2004q3 0.7388889 0.8833333
2004q4 0.7 0.8722222
2005q1 0.7444444 0.8888889
2005q2 0.7555556 0.9333333
2005q3 0.7666667 0.9166667
2005q4 0.7277778 0.9166667
2006q1 0.7444444 0.9111111
2006q2 0.7611111 0.9555556
2006q3 0.7388889 0.9555556
2006q4 0.6888889 0.9444444
2007q1 0.7277778 0.9277778
2007q2 0.7277778 0.9213483
2007q3 0.6944444 0.8837209
2007q4 0.6722222 0.8780488

Figure 4: Relationship Between Regular Dividend Payouts and Earning for NonREITs- Panel a: NonREIT Dividends and EBITDA, Indexed 2002q3 = 100

Quarter Aggregate regular dividend payouts by nonREITs, Indexed 2002q3=100 EBITDA of nonREITS, Indexed 2002q3=100
1995q1 86.76836 87.56174
1995q2 88.4602 91.26112
1995q3 89.27806 87.41435
1995q4 89.97106 90.49632
1996q1 90.81413 89.03046
1996q2 93.05144 95.91876
1996q3 93.16683 90.70522
1996q4 94.05029 98.84724
1997q1 94.04991 98.39793
1997q2 97.46173 103.9305
1997q3 96.83836 97.23013
1997q4 97.44791 107.666
1998q1 98.03853 98.45893
1998q2 99.30763 103.1497
1998q3 97.38036 99.99104
1998q4 100.7196 101.1166
1999q1 98.62022 102.7826
1999q2 102.487 113.7224
1999q3 98.28164 108.9519
1999q4 102.2508 110.5749
2000q1 100.6069 114.7967
2000q2 98.15976 123.8448
2000q3 97.08898 120.1118
2000q4 104.6028 114.7977
2001q1 98.83705 103.5732
2001q2 95.75815 106.0551
2001q3 97.34981 92.14288
2001q4 102.5001 90.63528
2002q1 100.4093 95.27323
2002q2 99.20973 106.1573
2002q3 100 100
2002q4 102.4599 102.9346
2003q1 106.4984 101.8716
2003q2 102.6161 111.6175
2003q3 105.0442 110.8862
2003q4 117.8018 115.4085
2004q1 113.6941 121.5794
2004q2 116.017 127.2243
2004q3 119.663 121.5437
2004q4 121.6444 133.4646
2005q1 129.9265 127.4922
2005q2 132.1418 132.7958
2005q3 129.7462 132.3384
2005q4 133.7358 136.9079
2006q1 142.0403 135.2913
2006q2 136.8123 146.1791
2006q3 132.0483 139.131
2006q4 137.5585 144.2325
2007q1 143.3905 143.2049
2007q2 147.9556 149.9446
2007q3 145.3743 146.6402
2007q4 154.8496 146.9081

Figure 4: Relationship Between Regular Dividend Payouts and Earning for NonREITs- Panel b: Payout Ratios

Quarter NonREIT ratio of regular dividend payouts to EBITDA NonREIT ratio of regular dividend payouts to EBIT
1998q1 0.1115236 0.1660665
1998q2 0.10783 0.1594695
1998q3 0.1090775 0.1662814
1998q4 0.111562 0.1775728
1999q1 0.107466 0.1655869
1999q2 0.1009364 0.15216
1999q3 0.1010328 0.1555826
1999q4 0.1035702 0.159786
2000q1 0.0981575 0.1504069
2000q2 0.0887729 0.1347449
2000q3 0.0905335 0.1445201
2000q4 0.1020552 0.1746386
2001q1 0.1068802 0.1853865
2001q2 0.1011274 0.1760852
2001q3 0.1183309 0.2217878
2001q4 0.1266636 0.2490967
2002q1 0.1180397 0.1931505
2002q2 0.1046717 0.1602685
2002q3 0.1120018 0.175514
2002q4 0.1114853 0.1724146
2003q1 0.1170886 0.1781467
2003q2 0.1029694 0.1552228
2003q3 0.106101 0.1578228
2003q4 0.1143244 0.1697232
2004q1 0.1047376 0.1513207
2004q2 0.1021355 0.1445975
2004q3 0.1102687 0.1589148
2004q4 0.1020825 0.1443664
2005q1 0.1141403 0.1589728
2005q2 0.1114502 0.151783
2005q3 0.1098079 0.1509091
2005q4 0.1094068 0.1498785
2006q1 0.117589 0.1619428
2006q2 0.104825 0.1415569
2006q3 0.1063002 0.1485505
2006q4 0.1068192 0.1509698
2007q1 0.112147 0.1578105
2007q2 0.1105161 0.1531377
2007q3 0.111035 0.1564441
2007q4 0.1180564 0.1674388

Figure 5: Regular Dividend Initiation Announcements- Panel a: Number of Firms and Baker-Wurgler Dividend Premium

Quarter Number of Firms Initiating Regular Dividend Baker-Wurgler Dividend Premium
2002q1 3 -15.46667
2002q2 4 -10.04667
2002q3 8 -0.0666667
2002q4 14 -0.79
2003q1 18 2.123333
2003q2 29 9.863333
2003q3 47 12.58
2003q4 30 6.856667
2004q1 26 5.166667
2004q2 21 -2.096667

Figure 5: Regular Dividend Initiation Announcements- Panel b: Billions of Dollars

Quarter Dividends Paid by Firms Initiating Regular Dividend
2002q1 0.0234214
2002q2 0.0174069
2002q3 0.0117879
2002q4 0.0921121
2003q1 1.005981
2003q2 0.1841631
2003q3 0.3855817
2003q4 0.1321188
2004q1 0.2632687
2004q2 0.1645489

Figure 6: Dividend Payouts and Share Repurchases by NonREITS, 1995 to 2008

Year Aggregate Dividend Payouts by NonREITs, Billions of Dollars Aggregate Share Repurchases by NonREITs, Billions of Dollars
1995 90.21353 48.85713
1996 94.4908 49.66066
1997 96.6746 81.59152
1998 99.66892 104.8001
1999 103.9545 133.5854
2000 107.6231 126.6518
2001 102.5749 93.51171
2002 105.0683 83.6727
2003 115.3337 100.4295
2004 133.765 136.5312
2005 182.896 215.3366
2006 175.0793 340.1334
2007 200.4743 405.4138
2008 204.0049 337.9278

Figure 7: Measures of Aggregate Corporate Earnings- Panel a: NonREITs

Quarter EBITDA Cash Flow EBIT Pre-Tax Income Net Income
1990q1 174934.7 107269.5 119964 88347.83 52437.54
1990q2 185259.1 111688.1 129198.4 93059.71 54999.66
1990q3 169975.1 100280.8 114714.9 74766.24 44824.17
1990q4 165837.9 82873.9 107906.2 56156.58 29951.37
1991q1 155570.3 94604.2 99581.06 68443.84 39306.51
1991q2 164076.1 94425.7 106276.7 65612.38 36537.05
1991q3 157292.3 87835.59 100119.9 54912.6 30652.77
1991q4 158629.9 61678.11 97834.24 32522.42 15030.92
1992q1 156037.7 99259.4 98063.17 70465.79 41740.12
1992q2 170276.5 103832.2 110026.5 74658.72 42138.28
1992q3 154080.8 94516.01 95566.83 60811.06 38393.67
1992q4 165957 76374.82 102233.7 44479.33 22555.52
1993q1 170472.5 111565.5 111550.4 86638.89 53462.82
1993q2 174197.3 97660.91 114462.9 71090.79 39831.04
1993q3 168480.8 102097.4 108303.1 70330.31 36190.23
1993q4 180569 93599.79 117041 62735.27 34257.94
1994q1 184939.1 118473.5 122670.6 95271.87 54957.89
1994q2 200015.9 130150.9 134490.7 106173.8 67434.49
1994q3 195825.4 131445.1 131435.4 106863.1 67359.66
1994q4 212917.9 143052 145708.7 108336.3 63193.95
1995q1 219671.5 145880.4 152670 128756.4 83723.94
1995q2 228952.4 148857.2 160945 130860.2 78185.3
1995q3 219301.8 138907.9 152046.6 116448.8 62090.16
1995q4 227033.7 146442.5 150054.4 95528.29 50327.58
1996q1 223356.2 143192.5 152461.6 120182.6 73420.71
1996q2 240637.3 156194.9 167586.6 135696.8 82391.47
1996q3 227557.8 149145 155085.8 124559.3 80566.92
1996q4 247984.2 165697.1 167919.7 124803.3 70139.36
1997q1 246856.9 161066.5 168619 138192.9 83566.26
1997q2 260736.9 161694.3 180032.3 137127.4 83009.57
1997q3 243927.2 154874.3 165662 130267.2 80944.85
1997q4 270108.2 153718.7 182179.2 101073.1 61982.68
1998q1 247010 183505.7 165881.9 156012.5 103950.7
1998q2 258778 152103.6 174980.3 121137.8 71096.94
1998q3 250853.7 162006.7 164555.3 125363.7 80574.81
1998q4 253677.5 157411.2 159375.6 101619.6 55466
1999q1 257857.1 173368.5 167349.5 137399.6 88381.42
1999q2 285302.3 191542.3 189257.3 159901 99124.68
1999q3 273334.4 172610.8 177498.9 131345.3 84155.63
1999q4 277406.1 199049.4 179809.3 138799.9 81237.76
2000q1 287997.4 201540.7 187951 168612.9 101658.7
2000q2 310697.2 191907.4 204694.2 158173.2 84509.03
2000q3 301331.8 198777.6 188766.9 157551.2 84392.38
2000q4 288000 149146.5 168301.2 57730.92 5066.636
2001q1 259840.5 154271 149804.9 95776.36 49635.72
2001q2 266067 146983.9 152804.8 76347.67 31537.29
2001q3 231164.5 127154 123333.7 56092.36 39473.68
2001q4 227382.3 112119.6 115622 35964.09 -4471.321
2002q1 239017.8 156436.3 146070.5 108487.1 61654.07
2002q2 266323.3 165175.8 173936.4 119173.6 57188.51
2002q3 250876.1 171265.8 160093.1 119705.6 68623.95
2002q4 258238.3 185990.6 166979.9 118165.9 79540.74
2003q1 255571.6 181542.9 167976.8 143717.2 95113.3
2003q2 280021.8 183607.7 185756.6 139014.9 85599.69
2003q3 278187.1 192271.5 187019.3 148082.1 108287.3
2003q4 289532.5 222763.4 195027.2 154084.6 102355.2
2004q1 305013.8 210780.8 211117.3 175527.7 112501.2
2004q2 319175.3 224298.5 225447.4 193531.4 127134
2004q3 304924.1 223220.5 211582.5 183146.3 128545.5
2004q4 334830.8 241470.8 236761.2 192283.1 131179.8
2005q1 319847.5 221815.5 229646.2 203451.8 137229.4
2005q2 333153 240109.9 244625.2 218136.8 150797.5
2005q3 332005.4 226808.4 241581.4 212901.4 141188.5
2005q4 343469.2 238139.7 250722.2 217127.8 148993.8
2006q1 339413.6 240957.6 246453.1 227726.9 157353.7
2006q2 366728.4 247982 271567.9 231192.4 157340.1
2006q3 349046.4 261577.9 249771.6 245221.7 166864.3
2006q4 361845 229037.2 256024.6 216760.9 160366.4
2007q1 359266.9 255196 255310.6 233372.6 156157.7
2007q2 376175.3 273385 271477.3 250181.4 167945
2007q3 367885.2 220544.1 261103.6 231877.4 122483.1
2007q4 368557.3 288295.5 259859.3 215749 148074

Figure 7: Measures of Aggregate Corporate Earnings- Panel b: REITs

Quarter EBITDA Cash Flow EBIT Pre-Tax Income Net Income
1990q1     1179.472 298.5128 284.381
1990q2     914.3624 58.16675 44.60449
1990q3     962.9296 45.72029 31.9552
1990q4     851.8525 -65.58087 -42.47765
1991q1     980.3408 148.6526 142.5792
1991q2     1060.097 220.8892 219.6885
1991q3     908.647 52.80745 46.63854
1991q4     887.7757 84.81132 55.69618
1992q1     1029.732 333.638 323.5049
1992q2     915.7447 80.83367 74.97762
1992q3     813.7754 39.59211 51.15298
1992q4     753.7874 -19.1794 -29.83052
1993q1     917.8247 337.1752 294.3435
1993q2     920.6496 279.6253 274.2286
1993q3     994.4108 331.59 295.4327
1993q4     1107.131 455.6443 368.3318
1994q1     1417.3 737.81 657.0026
1994q2     1604.496 747.8273 640.4462
1994q3     1892.259 949.0109 802.9505
1994q4     1928.892 901.4561 776.8989
1995q1     2141.507 1024.985 918.9589
1995q2     2185.287 967.2199 842.4104
1995q3     2287.981 645.5262 614.3167
1995q4     2391.749 1154.683 969.598
1996q1     2564.177 1308.561 1145.866
1996q2     2796.734 1585.907 1417.371
1996q3     2852.424 1672.273 1482.219
1996q4     3139.534 1575.882 1392.636
1997q1     3439.033 2183.326 1816.154
1997q2     3831.335 2542.512 2128.312
1997q3     4126.675 2163.661 1842.963
1997q4     4748.246 1470.804 1213.739
1998q1     5233.167 2952.378 3767.842
1998q2     5955.472 2870.584 2677.226
1998q3     6333.306 2181.606 1677.912
1998q4     6698.705 2677.124 2166.997
1999q1     6738.954 3179.35 1519.648
1999q2     6948.885 3753.004 3318.607
1999q3     7241.061 3821.862 3359.03
1999q4     7650.681 3942.992 2933.507
2000q1     6731.163 3347.899 2840.264
2000q2     6847.844 3095.32 2571.312
2000q3     7159.667 3393.182 2719.401
2000q4     7811.426 4161.702 3450.965
2001q1 9022.188 5069.433 6718.531 3287.556 2892.739
2001q2 8820.397 4997.159 6520.983 3242.744 2735.414
2001q3 8558.881 5063.994 6321.919 3259.045 2891.998
2001q4 8923.531 4951.782 6436.098 2836.817 2667.144
2002q1 8855.397 4939.154 6235.279 3033.924 2552.515
2002q2 9077.003 5568.154 6430.553 3476.675 3480.214
2002q3 8768.682 4964.205 5993.024 2568.892 2634.921
2002q4 9557.335 5405.521 6541.997 2924.188 2906.486
2003q1 8824.681 5012.548 6044.196 2572.019 2753.851
2003q2 8821.292 5255.846 6089.658 2926.779 3491.14
2003q3 8562.046 4991.531 5784.221 2490.757 2905.678
2003q4 9504.809 5814.414 6503.471 3601.15 4205.376
2004q1 9257.441 5497.479 6296.39 2898.371 3043.852
2004q2 9797.201 5926.997 6759.653 3275.904 3698.302
2004q3 9857.391 5749.601 6819.222 3065.895 3549.793
2004q4 11593.72 6856.316 8167.049 3956.898 4794.829
2005q1 11584.62 6937.894 8186.22 3962.41 4317.8
2005q2 12011.25 6351.91 8530.585 3272.822 3593.49
2005q3 11995.89 6279.562 8549.428 3241.896 4445.784
2005q4 12465.2 5705.13 8878.402 2724.951 3705.987
2006q1 12646.78 6585.207 9164.888 3475.931 4472.695
2006q2 13441.31 6852.125 10009.55 3865.78 4940.453
2006q3 12485.74 5658.46 9139.421 2638.518 3347.244
2006q4 13848.51 6792.85 10014.87 3357.977 5317.938
2007q1 12529.44 6759.682 9088.596 3125.335 4607.193
2007q2 12482.75 6562.315 9040.611 3441.852 4322.549
2007q3 9435.278 1959.694 5971.5 -983.3161 -413.7853
2007q4 10717.1 1821.615 7191.005 -1194.835 -388.0487
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