How Did the 2003 Dividend Tax Cut Affect Stock Prices?
检验2003年股息税削减是否推高了美国股价并降低了股权资本成本，通过事件研究比较美国普通股与外国股票及房地产投资信托基金的表现，未发现对整体市场有显著影响，但高股息股票表现优于低股息股票。
We test the hypothesis that the 2003 dividend tax cut boosted US stock prices and thereby lowered the cost of equity capital. Using an event‐study methodology, we attempt to identify an aggregate stock market effect by comparing the behavior of US common stock prices with that of foreign equities and the equities of real estate investment trusts (REITs). We also examine the relative cross‐sectional response of prices of high‐ and low‐dividend‐paying stocks. We do not find any imprint of the dividend tax cut news on the value of the aggregate US stock market. On the other hand, high‐dividend stocks outperformed low‐dividend stocks by a few percentage points over the event windows, suggesting that the tax cut may have induced asset reallocation within equity portfolios. Finally, the positive abnormal return on nondividend paying US stocks in 2003 does not appear to be tied to tax cut news.