Accounting Review; Sep2013, Vol. 88 Issue 5, p1833-1856

股息税对做空交易和市场质量的影响

作者：Jacob Thornock (University of Washington)

摘要：本研究考察了股息税对做空交易的参与主体——出借人和做空者的影响。对于股票出借人，股息税会使得可出借的股票供应量减少，并且在派息登记日前后的证券出借费用增加。对于做空者，潜在的偿还成本会显著降低除息日前的做空数量。同时，在除息日后做空量会明显上升。前人的研究表明做空交易提高了价格的效率，促进了价格的形成。所以，由于利息税对做空交易存在的这些负面影响，证券市场的质量也在多个维度受到利息税的影响，如证券的错误定价、寻贷摩擦上升、贷款价格低效、市场微观结构的崩溃等。总之，本研究说明了股息税约束了股息登记日前后的做空市场，并由此给证券市场的质量带来了消极影响。

关键词：股利，税费，做空交易，证券出借，除息日

The Effects of Dividend Taxation on Short Selling and Market Quality

Jacob Thornock (University of Washington)

ABSTRACT

This study examines the effects of dividend taxation on the primary parties involved in a short sale: the lender of the stock and the short seller. For stock lenders, dividend taxation is associated with a decrease in the supply of shortable shares and an increase in equity lending fees around the dividend record date. For short sellers, potential reimbursement costs are associated with a significant decrease in short volume before the ex-dividend date followed by a significant increase after the ex-date. Prior research shows that short selling improves price efficiency and formation. Hence, because of the negative effects of taxation on shorting, market quality declines along several dimensions: equity mispricing, increased loan search frictions, loan price inefficiencies, and market microstructure breakdown. In sum, this study documents that taxation constricts the shorting market around the dividend dates, which in turn has negative implications for market quality.

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翻译：汪国颂