Does a change in dividend tax rates in the US affect equity prices of non-US stocks?

• 成果类型: Article
• 署名作者: Kenchington, David G.
• 署名单位: Arizona State University; Arizona State University-Tempe
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-019-9489-z
• 发表日期: 2019
• 页码: 593-628
• 关键词: CAPITAL-ASSET PRICES; Portfolio investment; market valuation; personal taxes; gains taxes; consumption; POLICY; FIRMS; RISK; ACT

摘要

I investigate the link between dividend taxes and stock prices in a global setting. Based on findings from an open-economy after-tax capital asset pricing model, I predict that, when the U.S. cut its dividend tax rate in 2003, stock prices will increase for high-dividend yield foreign firms that are eligible for a U.S. income tax treaty. I examine returns for firms headquartered in treaty countries and find results consistent with this prediction. In further tests, I find that the same relation does not hold for firms in nontreaty countries. My paper is the first to provide direct evidence about whether and how dividend taxes affect equity prices across an integrated global economy.