A股税收客户群效应及除息日税负效应实证研究

An Empirical Analysis of A-Shares Taxation's Customer Base Effect and Ex-dividend Date Effect

本文分析了2002—2007年A股市场的纯现金红利分红数据,检验了这一期间在除息日套利的可能性,证实该期间市场存在除息日股价的税负效应,以及税收客户群效应。说明A股市场不同类的投资者对分红具有不同的偏好,上市公司应制定合适的股利政策以最大化股东财富。早期的关于国内市场的研究得到市场不存在税收客户群效应的结论,前后对比说明随着国内证券市场的发展,投资者更趋于理性。

In this paper we investigates the tax effect and tax clientele effect of Chinese stock markets during 2002 to 2007, the results are consistent with the hypothesis that price changes on ex-dividend days reflect the relative taxation of dividends and capital gains for the ＂representative＂ investor, and there are tax clientele effect in Chinese stock markets.