배당소득세율 변화 전⋅후 배당락일 주변 개인투자자 거래행태 비교 분석

This study examines how changes in the dividend tax rate affect investors’ dividend preference and their trading behavior around the ex-dividend day. Investors are classified into three groups according to their trading volume. We guess that investors differently respond to the dividend tax change due to their differential dividend incomes. A lower dividend tax rate is expected to induce more dividend capture behavior among investors. Our empirical results show that is exactly the case with large individual investors who trade more than ten million Korean won; they buy more than sell on the cum-dividend day and sell more than buy on the ex-dividend day. For the middle individual investors who trade more than five million and less than ten million Korean won, a decrease in the dividend tax rate induces them to buy more on the cum-dividend day than before. These two groups of investors tend to focus on stocks with higher dividend yields which show an increase in total dividends and greater dividend per share. In contrast, there is no apparent change in the behavior of small individual investors who trade less than five million Korean won. While the observed changes in the trading pattern, however,disappear if we extend the days around ex-dividend, our results suggest that investors’ dividend preferences do change when there is a change in the dividend tax rate. Based on a large number of ex-dividend events and a long sample period, our results are statistically more robust compared with foreign studies of similar focus. To our knowledge, this is the first study that analyzes changes in trading behavior of investors in Korea caused by changes in the dividend tax rate.