投资者税负差异、税率变动与除息日股价行为——来自A/B股公司的证据

Investors’ Taxes Variation and Ex-Dividend Day Stock Price Behavior: Evidence from Chinese Dual Class Ownership

自Campbell和Beranek(1955)以来,除息日股价行为之谜一直是困扰学术界的经典难题。半个世纪中,税收效应假说和短期交易假说在解释除息日股价行为方面各有建树,但也均遭到经验数据的不支持。中国既发行A股也发行B股的86家公司,在税收上存在的横向差异与纵向变动为求解除息日股价行为之谜提供了一个很好的实验环境。本文经验研究结果表明,除息日股价行为不能用短期交易假说解释,股票市场除息日股价行为一定程度上是股息税与资本利得税之间的差异造成的。

The ex-dividend stock price behavior puzzle has confused academic researchers since Campbell and Beranek （1955）. Tax hypothesis and short-term trading hypothesis are two mainstream explanations in the last half century.All of them got support and opposition. In China,ther are 86 companies offer both A share and B share. The two kinds of shares differ of dividend taxation and the divedend taxation of A share be cut 50%perfent in 2005.The investor taxes institutions provide a wonderful ecperimentafl situation to test explanations. Tth results show that the ex-dividend day stock price beliavior cannot be explained by short-term trading hypotesis but partially by tax explanation.