appliedcorporatefinancedividendpolicy(編輯修改稿)

　

【文章內容簡介】 Initial buy At $P Pb Pa Aswath Damodaran 21 Cashflows from Selling around ExDividend Day ? The cash flows from selling before the exdividend day are Pb (Pb P) tcg ? The cash flows from selling after the exdividend day are Pa (Pa P) tcg + D(1to) ? Since the average investor should be indifferent between selling before the exdividend day and selling after the exdividend day Pb (Pb P) tcg = Pa (Pa P) tcg + D(1to) ? Some basic algebra leads us to the following: ??P b ? P aD ?1 ? t o1 ? t cgAswath Damodaran 22 Intuitive Implications ? The relationship between the price change on the exdividend day and the dollar dividend will be determined by the difference between the tax rate on dividends and the tax rate on capital gains for the typical investor in the stock. Tax Rates Exdividend day behavior If dividends and capital gains are taxed equally Price change = Dividend If dividends are taxed at a higher rate than capital gains Price change Dividend If dividends are taxed at a lower rate than capital gains Price change Dividend Aswath Damodaran 23 The empirical evidence… 19661969 ? Ordinary tax rate = 70% ? Capital gains rate = 28% ? Price chg/ Dividend = 19811985 ? Ordinary tax rate = 50% ? Capital gains rate = 20% ? Price chg/ Dividend = 19861990 ? Ordinary tax rate = 28% ? Capital gains rate = 28% ? Price chg/ Dividend = Aswath Damodaran 24 Dividend Arbitrage ? Assume that you are a tax exempt investor, and that you know that the price drop on the exdividend day is only 90% of the dividend. How would you exploit this differential? ? Invest in the stock for the long term ? Sell short the day before the exdividend day, buy on the exdividend day ? Buy just before the exdividend day, and sell after. ? ______________________________________________ Aswath Damodaran 25 Example of dividend capture strategy with tax factors ? XYZ pany is selling for $50 at close of trading May 3. On May 4, XYZ goes exdividend。 the dividend amount is $1. The price drop (from past examination of the data) is only 90% of the dividend amount. ? The transactions needed by a taxexempt . pension fund for the arbitrage are as follows: ? 1. Buy 1 million shares of XYZ stock cumdividend at $50/share. ? 2. Wait till stock goes exdividend。 Sell stock for $(50 1* ) ? 3. Collect dividend on stock.