税负效应与除息日股票价格行为研究——来自A股市场的实证证据  

Taxation Effect And The Ex-dividend Stock Price Behavior:Empirical Evidence From A-share Market

作　　者：王俊[1] 

机构地区：[1]复旦大学经济学院

出　　处：《投资研究》2012年第3期76-89,共14页Review of Investment Studies

摘　　要：本文基于我国A股市场相关数据对除息日股价行为的税负效应进行全面检验,实证结果表明股息和资本利得税率对除息日股价波动行为具有显著影响,税负效应理论存在于A股市场,但除息日股价波动行为不能完全由税负效应进行解释,另外实证研究还发现我国A股市场不存在税收诱导客户效应。Based on the Chinese A-share market data, we test the taxation effect on the ex-dividend stock price behavior, The resuits of empirical test suggest that dividend tax rate and capital gains tax rate does affect the behavior of the ex-dividend stock price, and the taxation effect theory does exist in the A-share market. However the volatility of ex-dividend stock price behavior can not be explained entirely by taxation effect. In addition the empirical research also find that there is no tax-induced clientele effect in A-share market.

关 键 词：税负效应 除息日股价下降比率 除息日收益率 

分 类 号：F812.42[经济管理—财政学] F832.51F224