摘要2012年11月16日，财政部和国家税务总局颁布财税[2012]85号，宣布自2013年1月1日起，国家将对个人持有的上市公司股票所得的股息红利收入按持股时间长短实行差别化个人所得税政策。文章采用事件研究法，选取中国沪市A股市场中2012年实施现金股利分红的公司及2013年公布现金股利发放预案的公司作为研究样本，按每股现金股利数值大小进行排序与分组，同时选取4个事件窗口为[-21，5]、[-250，5]、[-21，21]、[-250，21]，并通过分别计算各事件窗口期内换手率、波动率及超额收益率三个指标的变化值，研究了股利收入差别化征税政策实施可能对投资者产生的影响并分析了政策效果。研究发现上述三个指标均在事件发生后有所下降，且换手率和波动率指标相对于超额收益率指标更能反映投资者对政策实施的反应，说明现金股利分红对国内投资者影响不大，也意味着现有公布的股利收入差别化征税政策影响并不乐观。64948

关键词：股利收入差别化征税  事件研究法  Fama-French三因子模型

毕业论文 外 文 摘 要

Title  Research of Influence on Investors of the Differencial TaxationPolicy on Dividend Income of Listed Companies                                                  

Abstract On November 16, 2012, the Ministry of Finance and the State Administration of Taxation issued a fiscal policy named [2012] No. 85, announcing that since January 1, 2013 onwards, the state will carry out different personal income tax policy on pidends according to the time inpiduals hold the stocks of listed companies they buy. Using the event study method, this paper selected the listed companies which had paid cash pidends in 2012 and the companies which had announced plans for cash pidends payout in 2013 of the Chinese Shanghai A-share market as research samples. And then sort and group the samples by their cash pidends per stock. This paper selected 4 event windows of [-21,5], [-250,5], [-21,21], [-250,21] and studied the influences on investors of the implementation of the differential taxation policy on pidend income and the effects of the policy through selection and calculation of three index values of turnover rate, volatility rate and abnormal returns during the event windows. The results showed that these three indexes are all in decline after the event happened, and the turnover and volatility index can better reflect investors' response to the implementation of the policy comparing with the abnormal returns index. The results also indicated that domestic investors don’t care about the cash pidends companies paid and the effect of the differential taxation policy on pidend income is not optimistic.

Keywords: Differential Taxation on Dividend Income  Event Study  Fama-French Three-factor Model

目   录

1  引言.. 1

1.1  研究背景. 1

1.2  研究内容及结构. .. .2

2  文献综述. .3

2.1  国外研究的历史与现状. 3

2.2  国内研究的历史与现状及本文的补充. 4

3  股利收入差别化征税政策对投资者影响的研究方法. .7

3.1  研究方法的选择. 7

3.2  样本的选择及剔除. 8

3.3  事件及事件窗口的选择. 8

 3.4  描述样本的指标选取及计算. 9

4  股利收入差别化征税政策对投资者影响的实证检验.13

4.1  样本分组13

 4.2  2012年现金股利实施前后指标分析. .13

4.3  2013年现金股利预案公布前后指标分析. .20

4.4  小结25

4.5  原因剖析及政策建议26