Investor Response to a Reduction in the Dividend Tax Rate: Evidence from the Jobs and Growth Tax Relief Reconciliation Act of 2003
研究了2003年美国股息税率降低后，投资者交易量和机构持股比例的变化，发现股息率能预测异常交易量，且股息率与机构持股变化负相关，表明投资者围绕税收特征形成客户群体。
ABSTRACT: This study examines investor reaction to the reduction in federal income tax rates on dividends resulting from passage of the Jobs and Growth Tax Relief Reconciliation Act of 2003 (JGTRRA or the Tax Act). We investigate the existence of a clientele shift associated with the JGTRRA by examining trading volume in dividend-paying stocks surrounding passage of the Tax Act. Also, we examine changes in shareholder composition of firms over the period between announcement in the press and final passage of the plan. We find dividend yield to be a significant predictor of abnormal trading volume around key dates, including the date the plan to reduce dividend taxes was first covered in the press. Furthermore, we find a large and statistically significant negative relationship between dividend yield and the change in institutional ownership. Taken as a whole, our results are consistent with expectations that investor clienteles form around tax characteristics associated with particular firms and the ways that those firms structure investor returns. In particular, our results suggest that passage of the JGTRRA resulted in observable shifts in shareholder clienteles for dividend-paying firms.