Shareholder income taxes and the relation between earnings and returns

• 成果类型: Article
• 署名作者: Dhaliwal, DS; Erickson, MM; Li, OZ
• 署名单位: University of Arizona; University of Auckland; University of Chicago; University of Notre Dame
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1506/9QEL-CKDY-MJ40-0QDQ
• 发表日期: 2005
• 页码: 587-616
• 关键词: free cash flow; information-content; Dividend policy; stock returns; investor sophistication; response coefficients; SHARE REPURCHASES; announcements; determinants; CLIENTELES

摘要

The purpose of this study is to investigate whether and how shareholder-level taxes affect earnings response coefficients (ERCs). Our tests indicate that when the tax rate on dividends increases, ERCs decrease for firms with high levels of dividend yield and whose marginal investor is likely to be an individual. For firms with high levels of share repurchase yield and whose marginal investor is likely to be an individual, an increase in dividend tax rate has no discernible effect on ERCs. These results are consistent with the notion that the tax penalty on dividends, relative to capital gains, reduces the earnings-return relation.