摘要
作为税收金融效应的研究方法之一，股票除息日股价行为研究与公司的股利政策息息相关，直接关系着公司的股利政策是否能够达到使得股东税后收益最大化的目标；我国股票市场目前投机过度，现金股利被统一的课以20％的个人所得税，而资本利得税尚未开征，这方面的研究也可以为资本利得税的开征提供一个实证依据。
笔者在对我国税收体制和深市的交易费用进行分析后，判断在我国股票市场的交易主体由于交易成本的限制，暂时没有在除息日进行短期套利的机会。因此本文结合中国股票市场的特点，在对变量选择方法进行一定的修改后，采用了Elton和Gruber(1970)的方法和模型对我国股票市场的除息日股价行为进行了实证研究。对1995-2000年数据的研究结果表明，股价变动与股利比的均值小于1，得出除息日股价相对于股权登记日收盘价下跌幅度小于每股现金股利。而1995-2000年股价变动股利比与股利率的相关系数为正，但是相关性不显著，因此中国深市不存在税收客户群效应。从而可以看出我国股票市场的交易主体并没有因为现金股利和资本利得的税率高低，而相应的调整其投资策略。尽管股东要为现金股利支付更多的所得税，但是在决定公司的股利政策时，股东还是希望公司以现金股利的形式分配。这也从另一个方面体现出我国交易主体还不够理性。
除息日股价变动的税负效应模型和税收客户群效应都是以交易主体的长期投资为前提，而中国股市交易主体以短线投资为主，具有很大的投机性，这是我国股市不存在税收客户群效应的主要原因。实际上，我国股票市场目前仍然很不成熟，与其他发达国家的市场相比，存在投机性过强，政府调控色彩浓重，税负不够合理等问题。笔者从实证结果出发，对我国的政权税收体制提出了明确证券市场税收管理政策导向，改革并降低交易印花税，选择适当时机实施适合我国国情的资本利得税征收体制等改革建议。
In a perfect Walrasian market with no taxes or transations' costs, share prices on the ex-dividend day would fall by exactly the value of the dividend that is paid on each share. However, it is well documented that stock prices do not fall by full amount, on average. Following Elton and Gruber(1970),we use Chinese data to examine the effect of dividend taxes on investors' relative valuation of dividends and capital gains. The tax effect on ex-dividend day behavior of common stock predicts that ex-dividend day price ratio can be used to estimate marginal tax rates in China. The tax clientele effect of MM holds that each firm is assumed to have a body of stockholders who find its dividend policy optimum. Investors who hold stocks with high dividend yields should be in low tax brackets relative to stockholders who hold stocks with low dividend yield.
Studying the relationship between dividends and stock price movements during 1995 to 2000,we find the average of the ex-dividend day price ratio is less than one. While the spearman's rho correlation coefficient between the dividend yield and ex-dividend price ratio is positive, but not statistically significant at 5% level. So the ex-dividend day price ratios do not provide much evidence in support of dividend tax clienteles. The results of this paper suggest that tax rate doesn't play an important role in investor's portfolio decision and the ex-dividend day price ratio can't be used to measure the market's marginal tax rate.
Tax effect hypothesis and the tax clientele hypothesis are based on the assumption that the marginal stockholders are primarily long-term investors, but short-term traders dominate China's stock markets. Since tax exemption for capital gain is not a major consideration in Chinese investor's decision, we suggest levying, tax on capital gain at appropriate time. The new tax system should be devised to fit for Chinese market. It will restrict the unduly speculation in China's capital market and accelerate orderly development of it.
引文
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