Dividend Taxes and International Portfolio Choice
利用2003年美国《就业与增长税收减免协调法案》对外国股息的特殊处理，研究发现该法案导致美国投资者将投资组合向税收优惠国家的股票重新配置，且这一效应无法被其他替代假说解释。
This paper investigates how dividend taxes influence portfolio choices, using the response to the distinctive treatment of a subset of foreign dividends in the Jobs and Growth Tax Relief Reconciliation Act (JGTRRA) of 2003. An open-economy after-tax capital asset pricing model is used to derive the hypothesis that JGTRRA should lead to a portfolio reallocation by U.S. investors toward equities in tax-favored countries. A difference-in-difference analysis that compares U.S. equity holdings in affected and unaffected countries finds a substantial portfolio reallocation toward the former. This effect cannot be explained by several potential alternative hypotheses, including differential changes to the preferences of American investors, differential changes in investment opportunities, differential time trends in investment, changed tax evasion behavior, or changes in stock prices associated (or contemporaneous) with JGTRRA. © 2011 The President and Fellows of Harvard College and the Massachusetts Institute of Technology.