深市A股除息日税收效应分析  

Analysis of Tax Effect of EX Day of Shenzhen A-share

作　　者：孙凯[1] 

机构地区：[1]北京信息科技大学经管学院,北京100192

出　　处：《税务与经济》2015年第3期85-91,共7页Taxation and Economy

基　　金：北京信息科技大学研究生教育-重点学科-管理科学与工程项目;北京世界城市循环经济体系(产业)协同创新中心与北京市知识管理研究基地项目(项目编号:71F1310919);北京市属高等学校人才强教深化计划-高层次人才项目(项目编号:PHR20110514)

摘　　要：根据我国税收制度和股票交易制度的特点对Elton-Gruber模型进行修正,计算股票相对价格下降比率,发现按照均值法和市场法所计算出来的股票相对价格下降比率的特征与税收效应相违背。进一步从最小隐含成本的角度对税收效应和短期交易进行辨析,通过计算,排除了短期交易占据主导作用的可能。从而判定在围绕除息日进行的股票交易中,税收效应没有发生作用。In this paper, a study was conducted to revise the Ehon-Gruber model according to the characteristics of tax system and stock trading system in China. The author in this paper calculated the falling ratio of relative stock price and found that the characteristics of falling ratio of stock cording to the method of mean value and market law. The author trading from the aspect of the least implicit cost. It was found that it play a dominant role through calculation. Thus, it was sure that tax EX day. relative price was contrary to tax effect ac- still analyzed the tax effect and short was impossible that short term trading tel3Tl could effect did not work in stock trading around EX day.

关 键 词：税收效应 Elton-Gruber模型 短期交易 

分 类 号：F832[经济管理—金融学]