주주지분의 가치평가와 배당소득세 효과 : 배당정책과 조세특성의 영향

This paper investigates (i) whether there is stock price reflection of shareholder-level dividend taxes, and (ii) whether the magnitude of dividend tax capitalization be different with respect to dividend policy(dividend level) and shareholders' marginal dividend tax rate in the Korea Stock Exchange(KSE). A series of studies including Harris and Kemsley(1999), Collins and Kemsley(2000), Harris, et al.(2001) analyzed the relationship between dividend taxes and firm valuation, and found empirical results consistent with dividend tax capitalization. This fully dividend tax capitalization studies asserted that shareholder-level dividend taxes on retained earnings are fully impounded at the top statutory rate into stock prices. In contrast, Ayers, et al.(2003), Hanlon, et al.(2003), Dhaliwal, et al.(2003) criticized that the model and tests in Harris and Kemsley(1999) may not show direct price effects arising from dividend taxes This paper examined the assertions of tax capitalization studies based on the HK(1999) model and the firms listed on the Korean Stock Market for the years 1999-2002. The differences between the Korean and US markets were introduced into the my empirical versions of the HK(1999) model, for the Korean Tax systems are especially different from US tax laws. The sample of this study consists of 1,393 observations(firm-years), which are selected from KSE firms with a December fiscal year-end over the period of 1999-2002. Consistent with dividend tax capitalization, I could find evidence that retained earnings are valued less per unit retained earnings than contributed capital. The results of this paper seem to bring forth additional evidence supporting dividend tax capitalization.