Dividend Tax Clienteles: Evidence from Tax Law Changes
研究了1987至2004年间股息税惩罚变化如何影响机构投资者对派息股票的偏好，发现税收优惠机构更倾向高股息股票，而应税机构则相反。
ABSTRACT: We investigate institutional investors' preference for dividend-paying stocks following changes in the dividend tax penalty during the sample period from 1987 until 2004. Following prior literature we separate institutions into tax-advantaged and taxable cohorts and find that when the dividend tax penalty is positive, high-dividend firms constitute a significantly larger (smaller) percentage of tax-advantaged (taxable) institutions' portfolios. Multivariate regressions involving institutional ownership levels and changes confirm our initial findings. We estimate (for the median dividend-paying firm) when the dividend tax penalty decreases by 23.3 percent, we expect tax-advantaged (taxable) institutional ownership will decrease by 0.36 percent (increase by 0.25 percent) of a firm's shares outstanding. We find our results are robust for a subsample of firms that do not change their dividend policy. Overall, our paper provides strong support for the existence of institutional dividend tax clienteles.