O efeito fiscal nos dividendos: evidência nas empresas do PSI20

Pedro Miguel Pereira, Elisabete Vieira

Abstract


Objetivo: Este estudo pretende analisar o efeito fiscal associado à política de dividendos, através da análise do grau de ajustamento no preço das ações nas datas ex-dividendo.

Desenho/metodologia/abordagem: A amostra, para o período de 1 de janeiro de 2005 a 30 de junho de 2015, é composta por 23 empresas, correspondendo a um total de 148 observações. Para a sua estimação recorremos ao modelo de dados em painel a fim de verificar se existe uma relação positiva entre a variação média do preço das ações na data ex-dividendo e a dividend yield. Adicionalmente testamos, para um cenário de indiferença fiscal, se a variação média do preço das ações na data ex-dividendo é igual à dividend yield. Por último, analisamos se a variação média do preço das ações corresponde ao valor médio da discriminação fiscal do investidor.

Resultados: Os resultados obtidos permitiram concluir que a política de dividendos é influenciada pelo efeito fiscal associado aos dividendos.

Limitações/implicações: A análise do comportamento das ações na data ex-dividendo recorre apenas a uma variável, os impostos.

Originalidade: Dos inúmeros estudos realizados sobre a política de dividendos no mercado português, apenas se registam três que se debruçaram sobre o efeito fiscal nos dividendos. Estes focam, principalmente, a década de 90. Desde então, inúmeras foram as alterações que decorreram em Portugal, desde as reformas fiscais aos constituintes do índice PSI-20, pelo que importa analisar o impacto destas alterações na política de dividendos das empresas portuguesas.

 

Palavras-chave: Política de dividendos, efeito fiscal, efeito clientela, PSI 20.

 

 

[ENG]

Title: "The tax effect on dividends: evidence in PSI20 companies"

Abstract

Purpose: This study aims to analyze the fiscal effect associated with the dividend policy by analyzing the degree of adjustment in share price on ex-dividend dates.

Design/methodology/approach: The sample for the period from 1 January 2005 to 30 June 2015 is made up of 23 companies, corresponding to a total of 148 observations. For its estimation we use the panel data model to verify if there is a positive relationship between the average share price change on the ex-dividend date and the dividend yield. Additionally, we tested, for a scenario of fiscal indifference, whether the average share price change on the ex-dividend date is equal to the dividend yield. Finally, we analyze whether the average change in share price corresponds to the average value of investor tax discrimination.

Results: The results obtained led to the conclusion that the dividend policy is influenced by the tax effect associated with dividends.

Limitations / Implications: Analysis of the behavior of shares on the ex-dividend date uses only one variable, taxes.

Originality: Of the numerous studies conducted on dividend policy in the Portuguese market, there are only three that dealt with the tax effect on dividends. These focus mainly on the 1990s. Since then, there have been numerous changes that have taken place in Portugal, from tax reforms to the constituents of the PSI-20 index, so it is important to analyze the impact of these changes on the dividend policy of Portuguese companies.

 

Keyword: Dividend policy, tax effect, clientele effect, PSI 20.


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References


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