DIVIDEND TAXES AND INTERNATIONAL PORTFOLIO CHOICE

• 成果类型: Article
• 署名作者: Desai, Mihir A.; Dharmapala, Dhammika
• 署名单位: Harvard University; National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00073
• 发表日期: 2011-02
• 页码: 266-284
• 关键词: capital gains; personal taxation; market valuation; asset prices; diversification; preferences; holdings; WEALTH; BIAS

摘要

This paper investigates how dividend taxes influence portfolio choices, using the response to the distinctive treatment of a subset of foreign dividends in the Jobs and Growth Tax Relief Reconciliation Act (JGTRRA) of 2003. An open-economy after-tax capital asset pricing model is used to derive the hypothesis that JGTRRA should lead to a portfolio reallocation by U.S. investors toward equities in tax-favored countries. A difference-in-difference analysis that compares U.S. equity holdings in affected and unaffected countries finds a substantial portfolio reallocation toward the former. This effect cannot be explained by several potential alternative hypotheses, including differential changes to the preferences of American investors, differential changes in investment opportunities, differential time trends in investment, changed tax evasion behavior, or changes in stock prices associated (or contemporaneous) with JGTRRA.