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.


Full Text:

PDF

References


Armstrong, V., & Hoffmeister, J. (2012). Multiple clientle influence on ex-dividend day price performance. Journal of Business Research, 65(9), 1235-1242.

Ang, J., Blackwell, D., & Meginson, W. (1991). The Effect of Taxes on the Relative Valuation of Dividends and Capital Gains: Evidence from Dual-Class British Investment Trusts. The Journal of Finance, 46(1), 383–399.

Barclay, M. (1987). Dividends, Taxes and Common Stock Prices: the Ex-Dividend Day Behavior of Common Stock Before the Income Tax. The Journal of Financial Economics, 19(1), 31-44.

Bell, L., & Jeckinson, T. (2002). New Evidence of the Impact of Dividend Taxation and on the Identity of the Marginal Investor. Journal of Finance, 57(3), 1321-1346.

Benzinho, J. (1999). A política de dividendos das empresas: um debate inacabado. Revista de Contabilidade e Comércio, 56(221), 145-188.

Benzinho, J. (2007). The dividend policy of the Portuguese corporations: evidence from Euronext Lisbon (MPRA Paper n.º 11379). Available at SSRN: https://ssrn.com/abstract=609461 or http://dx.doi.org/10.2139/ssrn.609461.

Bhattacharya, S. (1979). Imperfect Information, Dividend Policy, and “the Bird in the Hand” Fallacy. The Bell Journal of Economics, 10(1), 259-270.

Black, F. (1976). The Dividend Puzzle. The Journal of Portfolio Management, 2(2), 5-8.

Black, F., & Scholes, M. (1974). The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns. Journal of Financial Economics, 1(1), 1-22.

Borges, M. (2002). Fiscal Effect in Dividend Distributions. Estudos de Gestão – Portuguese Jornal of Management Studies, 8(1), 73-85.

Borges, M. (2008). The Ex-Dividend Day Stock Price Behavior: The Case of Portugal. Internacional Atlantic Economic Society, 36(1), 15-30.

Boyd, J., & Jagannathan, R. (1994). Ex-Dividend Price Behaviour of Common Stocks. Review of Financial Studies, 7(4), 711-741.

Brennan, M. (1970). Taxes, Market Valuation and Financial Policy. National Tax Journal, 23(4), 417-429.

Campbell, J., & Beranek, W. (1955). Stock Price Behavior on Ex-Divdend Dates. The Journal of Finance, 10(4), 425-429.

Eades, K., Hess, P., & Kim, E. (1984). On Interpreting Security Returns During Ex-Dividend Period. Journal of Financial Economics, 13(1), 3-34.

Elton, E., & Gruber, M. (1970). Marginal Stockholder Tax Rates and the Clientele Effect. Review of Economics and Statistics, 52(1), 68-74.

Easterbrook, F. (1984). Two Agency-Cost Explanations of Dividends. American Economic Review, 74(4), 650-659.

Farinha, J., & Soro, M. (2005). Ex-dividend pricing, Taxes and Arbitrage Opportunities: The Case of the Portuguese Stock Exchange (Working Paper). Porto: CETE – Centro de Estudos de Economia Industrial, do Trabalho e da Empresa, Faculdade de Economia, Universidade do Porto.

Farrar, D., & Selwyn, L. (1967). Taxes, Corporate Financial Policy and Return to Investors. National Tax Journal, 20(4), 443 - 454.

Fernandes, D., & Ribeiro, A. (2013). Fatores determinantes da política de distribuição de dividendos: evidência empírica para as empresas não financeiras da Euronext Lisbon (Issue Brief No. 7, Série IV). Retrieved from http://revistas.ua.pt/index.php/estudosdoisca/article/view/2550/2420

Frank, M., & Jagannathan, R. (1998). Why do Stock Prices Drop by Less Than the Value of Dividends? Evidence from a Country Without Taxes. Journal of Financial Economics, 47(2), 161-188.

Gujarati, D. (2004). Basic Econometric. New York: The McGraw-Hill Companies.

Haesner, C., & Schanz, D. (2013), Payout Policy Tax Clienteles, ex-dividend Day Stock Prices and Trading Behavior in Germany: The Case of the 2001 Tax Reform. Journal of Business Finance and Accounting, 40(3-4), 527-563.

Hausman, J. (1978). Specification Tests in Econometrics. Econometrica, 46(6), 1251-1271.

Jakob, K., & Ma, T. (2007), Are Ex-day Dividend Clientele Effects Dead? Dividend Yield verses Dividend Size. Journal of Empirical Finance, 15(5), 718-735.

Jensen, M. (1986). Agency Costs of Free Cash Flow. American Economic Review, 76(2), 323-329.

Kadioglu, E., Telçeken, N., & Ocal, N. (2015). Market Reaction to Dividend Announcement: Evidence from Turkish Stock Market. International Business research, 8(9), 83-94.

Kalay, A. (1982). The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect. The Journal of Finance, 37(4), 1059-1070.

Karunaratne, P., & Peter, S. (2015). Ex-Dividend Day Stock Price Behaviour – Evidence fron Colombo Stock Exchange. Proceedings of the Internacional Postgraduate Research Conference 2015.

Yahyaee, K., Pham, T., & Walter, T. (2007). Ex-dividend Day Behavior in the Absence of Taxes and Prices Discreteness. Paper presented at the 2007 EFMA conference, Vienna, Austria.

Lasfer, M. (1995). Ex-Dividend Behavior: Tax or Short Term Effects. Journal of Finance, 50(3), 875-897.

Litzenberger, R., & Ramaswamy, K. (1979). The Effects of Personal Taxes and Dividends on Capital Assets Prices: Theory and Empirical Evidence. Journal of Financial Economics, 7(2), 163-195.

Miller, M., & Modigliani, F., (1961). Dividend Policy, Growth, and the Valuation of Shares. The Journal of Business, 34(4), 411-433.

Pettit, R. (1977). Taxes, transaction costs and the clientele effect of dividends. Journal of Financial Economics, 5(3), 419-436.

Perez-Gonzalez, F. (2002). Large shareholders and dividends: Evidence from U.S. tax reforms (Working Paper). Available at SSRN: https://ssrn.com/abstract=337640

Ribeiro, A., & Villar, M. (2012, 20 e 21 Setembro). Evidência Empírica dos Fatores Explicativos dos Dividendos Distribuídos pelas Empresas do PSI 20. Working Paper apresentado no XV Encontro AECA - Novos Caminhos para a Europa: O papel das Empresas e dos Governos, Ofir, Esposende.

Rozeff, M. (1982). Growth, Beta and Agency Costs as Determinants of Payout Ratios. Journal of Financial Research, 5(3), 249-259.

Seida, J. (2001). Evidence of Tax Clientele Related Trading following Dividend Increases. The Journal of the American Taxation Association, 23(1), 1-21.

Verbeek, M. (2004). A Guide to Modern Econometrics (2nd Edition). Rotterdam: John Wiley & Sons, Ltd. ISBN 0-470-85773-0.

Vieira, E., Pinho, C., & Leite, S. (2013). Reação do mercado ao anúncio de dividendos: Evidência em Países Europeus (Issue Brief, No. 5). Retrieved from http://revistas.ua.pt/index.php/estudosdoisca/article/view/2201/2072.




Copyright (c) 2016 European Journal of Applied Business and Management

 

European Journal of Applied Business and Management

ISSN: 2183-5594

DOI: https://doi.org/10.58869/EJABM

Indexing:

EBSCO | CROSSREF | GOOGLE SCHOLAR | LATINDEX | DRJI | ICI JOURNALS MASTER | REDIB | MIAR