Crossborder dividend taxation and the preferences of taxable and nontaxable investors:: Evidence from Canada

• 成果类型: Article
• 署名作者: Christoffersen, SEK; Géczy, CC; Musto, DK; Reed, AV
• 署名单位: University of Pennsylvania; McGill University; Universite de Montreal; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.08.004
• 发表日期: 2005
• 页码: 121-144
• 关键词: mutual funds; international investing; Dividend taxation; Equity lending; arbitrage

摘要

We consider how fund managers respond to the conflicting preferences of their investors. We focus on the conflict between the taxable and retirement accounts of international funds, which face different tradeoffs between dividends and capital gains. In principle, managers could resolve this conflict through dividend arbitrage, but a proprietary database of dividend-arbitrage transactions shows that in practice they cannot. Thus, managers must resolve it through their investment policies. We find robust evidence that managers with more retirement money favor the preferences of retirement investors and further evidence for this view in the difference between U.S. and Canadian funds' portfolio weights. (c) 2005 Elsevier B.V. All rights reserved.