Taxes and the Valuation of Dividends: A Study of Dividend Announcements in Germany

ERN: Taxation Pub Date : 2011-06-10 DOI:10.2139/ssrn.1811742
Christian Haesner, Deborah Schanz
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Abstract

This paper investigates the impact of the 2001 tax reform in Germany on dividend announcement returns. With this major tax reform, the full imputation system was replaced by the half-income system, which had a significant impact on the relative taxation of dividends and capital gains for most investor classes. In an event study framework, we separate the tax effect of dividends from their positive signaling and agency cost effects to offer a more comprehensive picture of the valuation implications of dividends in Germany. Controlling for signaling and agency cost effects of dividends we find that the market response to positive dividend surprises is more pronounced under the full imputation system, where dividends are generally more favorable to investors from a tax perspective, than under the half-income system. Our results suggest that the observed decline in the dividend response coefficient is synchronized with the 2001 tax reform and hence attributable to the 2001 tax reform.
税收与股利估值:德国股利公告研究
本文研究了2001年德国税制改革对股利公告收益的影响。在这次重大的税收改革中,全部归责制度被一半收入制度所取代,这对大多数投资者阶层的股息和资本收益的相对税收产生了重大影响。在事件研究框架中,我们将股息的税收影响与其积极信号和代理成本效应分开,以提供德国股息估值影响的更全面图景。在控制了股息的信号和代理成本效应后,我们发现,在完全归算制度下,市场对积极股息意外的反应更为明显,从税收角度来看,股息通常比在一半收入制度下更有利于投资者。我们的研究结果表明,观察到的股息反应系数的下降与2001年税制改革同步,因此可归因于2001年税制改革。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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