The Effect of Tax-Exempt Investors and Risk on Stock Ownership and Expected Returns
研究了股东税负和风险偏好如何影响股票预期收益（反映股息税惩罚的资本化）以及免税投资者持股比例，模型和实证表明股息税资本化取决于投资者风险容忍度加权的平均税率，且免税投资者持股与加权平均税率的相关性源于风险容忍度差异。
ABSTRACT: We investigate how shareholder taxes and risk preferences affect both a stock’s expected return, which reflects the capitalization of the dividend tax penalty into stock price, and the fraction of a firm’s stock held by tax-exempt investors. Our model demonstrates that the dividend tax capitalization effect reflects the weighted average tax rate of all investors, where the weighting depends on investors’ risk tolerances. This weighted average tax rate is not affected by the fraction of stock held by tax-exempt investors; however, tax-exempt investor ownership can be correlated with the weighted average tax rate if differences in tax-exempt investor ownership for different stocks reflect differences in investor risk tolerances for those stocks. Our empirical tests are consistent with the model’s predictions, and provide an equilibrium framework for interpreting prior empirical studies in accounting.