The Effects of Dividend Taxation on Short Selling and Market Quality
研究了股息税如何影响卖空中的股票出借人和卖空者，发现税收导致可借股票减少、借贷费用上升，并降低市场质量，如加剧错误定价和微观结构问题。
ABSTRACT: This study examines the effects of dividend taxation on the primary parties involved in a short sale: the lender of the stock and the short seller. For stock lenders, dividend taxation is associated with a decrease in the supply of shortable shares and an increase in equity lending fees around the dividend record date. For short sellers, potential reimbursement costs are associated with a significant decrease in short volume before the ex-dividend date followed by a significant increase after the ex-date. Prior research shows that short selling improves price efficiency and formation. Hence, because of the negative effects of taxation on shorting, market quality declines along several dimensions: equity mispricing, increased loan search frictions, loan price inefficiencies, and market microstructure breakdown. In sum, this study documents that taxation constricts the shorting market around the dividend dates, which in turn has negative implications for market quality. JEL Classifications: G11, G12, G23, H20