Taxes and Valuation: Evidence from Dividend Change Announcements
研究了美国税收制度下股息税惩罚如何部分抵消股息对个人投资者的正面信号和代理成本效应，发现机构持股和交易频率能缓解这种负面税收影响。
Under the U.S. tax system, dividends are historically taxed at a higher rate than capital gains and thus incur a tax-related penalty. I provide evidence that the dividend tax penalty partially offsets the positive signaling and agency cost effects of dividends for fully taxable individual investors. The level of institutional ownership and the frequency of institutional trading, which proxy for the likelihood that the marginal investor is not a fully taxable individual, mitigate the negative dividend tax effect. My results support the notion that taxes impact equity valuation. I contribute to the literature by isolating dividends' negative tax effect from their positive signaling and agency cost effects.