The Ex-Dividend Day Behavior of Stock Prices; a Re-Examination of the Clientele Effect: A Reply
The Ex-Dividend Day Behavior of Stock Prices; a Re-Examination of the Clientele Effect: A Reply
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股票价格的除息日行为；
DOI：
10.1111/j.1540-6261.1982.tb03598.x
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发表时间：
1982
影响因子：
8
通讯作者：
A. Kalay
中科院分区：
文献类型：
--
作者：
A. Kalay
过去的研究表明，除息日价格跌幅小于每股股息，并与相应的股息收益率呈正相关。与之前的工作相反，我们表明，如果没有额外的信息，就无法从这种现象中推断出边际税率，因此，这不一定是税收引起的客户效应的结果。然而，尽管对早期工作中的潜在偏差进行了调整，除息相对价格下跌与股息收益率之间的相关性仍然为正，这与税收效应和税收诱导的客户效应一致。股利政策对股票价格的影响是金融文献中日益引起关注和争议的一个问题。正如米勒和莫迪利亚尼[19]所示，如果资本市场是完美的，那么对于给定的投资政策，公司的股利政策不会影响其市场价值。然而，在一个股息税比资本利得税更重的世界里，投资者可能会要求更高的税前回报来持有高股息收益率的证券。此外，在这样的世界中，投资者可能会形成各自偏好特定股息收益率的“客户”。2特别是，高所得税等级的投资者可能会发现持有低股息收益率股票是有利的，而低所得税等级的投资者则集中持有高股息收益率股票。3尽管税收引起的客户效应的概念具有直观的吸引力，但其存在存在严重问题。 Long[18]指出，投资组合股息收益率的选择不能独立于风险预期收益权衡而做出，因为所有均值方差有效投资组合的股息收益率都是其不可分散风险的线性函数。例如，如果股息收益率与风险呈正相关，而富有的投资者对风险具有较高的承受能力，那么他们可能会持有高股息收益率的投资组合，即使他们对股息收入缴纳的税费高于资本利得税。此外，正如米勒和斯科尔斯
Past studies have documented an ex-dividend day price drop which is less than the dividend per share and positively correlated with the corresponding dividend yield. In contrast to prior work, we show that, without additional information, the marginal tax rates cannot be inferred from this phenomenon which is, therefore, not necessarily the result of a tax induced clientele effect. Despite adjustments for potential biases in earlier work, however, the correlation between the ex-dividend relative price drop and the dividend yield is still positive which is consistent with a tax effect and a tax induced clientele effect. THE EFFECT OF DIVIDEND policy on stock prices is an issue of growing interest and controversy in the financial literature. As Miller and Modigliani [19] show, if capital markets are perfect the dividend policy of the firm, for a given investment policy, does not affect its market value. However, in a world in which dividends are taxed more heavily than capital gains, investors may demand higher before-tax returns to hold securities with high dividend yield.' Furthermore, in such a world, investors could form "clienteles" each preferring a particular dividend yield.2 In particular, investors in high income tax brackets might find it advantageous to hold low dividend yield stocks, while those in lower income tax brackets concentrate their holdings in high dividend yield stocks.3 Although the notion of a tax-induced clientele effect has intuitive appeal, there are serious questions as to its existence. Long [18] pointed out that the portfolio dividend yield choice cannot be made independently of the risk expected return trade off, since the dividend yield of all mean variance efficient portfolios is a linear function of their nondiversifiable risk. If, for example, dividend yield is positively correlated with risk, and wealthy investors have high tolerance to risk, they may hold high dividend yield portfolios even though they pay a higher tax on dividend income than on capital gains. Furthermore, as Miller and Scholes