Dividend taxes and implied cost of equity capital

• 成果类型: Article
• 署名作者: Dhaliwal, D; Krull, L; Li, OZ; Moser, W
• 署名单位: University of Arizona; University of Auckland; University of Texas System; University of Texas Austin; University of Notre Dame; University of Missouri System; University of Missouri Columbia
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/j.1475-679X.2005.00186.x
• 发表日期: 2005
• 页码: 675-708
• 关键词: STOCK-PRICE BEHAVIOR; corporate-finance; DISCLOSURE LEVEL; returns; POLICY; REEXAMINATION; DISCRETENESS; INFORMATION; CLIENTELES; valuation

摘要

We estimate firm-level implied cost of equity capital based on recent advances in accounting and finance research and examine the effect of dividend taxes on the cost of equity capital. We investigate whether dividend taxes affect firms' cost of capital by testing the relation between the implied cost of equity capital and a measure of the tax-penalized portion of dividend yield, which we define as the product of dividend yield and the dividend tax penalty. The results generally support the dividend tax capitalization hypothesis. We find a positive relation between the implied cost of equity capital and the tax-penalized portion of dividend yield that is decreasing in aggregate institutional ownership, our proxy for tax-advantaged investors. The evidence in this study adds to the understanding of the effect of investor-level taxes on equity value.