基金分红迎合了机构投资者的避税需求吗?
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摘要
我国对机构投资者从基金中获得的分红免征所得税,但对其资本利得却征收所得税。基于此税收偏好,本文构建了基金分红的决策模型,从理论上推导了机构投资者分红需求压力、基金生息率和资金净流入之间的关系,得出结论为:机构投资者分红需求压力越大,基金生息率也越高,而且基金分红生息率越高,资金流入越多。本文对2012～2017年债券型基金的数据实证分析了这种"迎合效应",研究发现,债券基金的机构投资者持股比例增加导致基金生息率的提升,且基金生息率的提高会带来机构投资者资金净流入,并实现基金规模的净增长,从而为上述推论提供了证据支持。此外,该"迎合效应"也同样存在于混合型基金,但不存在于股票型基金中。
China's dividends received by institutional investors from funds are exempt from income tax, but income tax is levied on capital gains. Based on this tax preference, this paper constructs a decision-making model of fund dividends, theoretically deducing the relationship between institutional investors' dividend demand pressure, fund interest rate and net capital inflow. It is concluded that the greater the pressure on institutional investors' dividends, the higher the dividend yield of fund, which further brings in more capital inflows. Subsequently, this paper empirically analyzes the data of bond funds in 2012-2017, and finds that the increase in the shareholding ratio of institutional investors of bond funds leads to the increase of the dividend yield of the fund, which will bring the net inflows of institutional investors and a net increase in the size of the fund and thus provide evidence of support for the above theoretical results. In addition, the results also exist in hybrid funds, but not in equity funds. This paper has made new theoretical and empirical contributions to the research on the tax catering effect of fund dividends.
China's dividends received by institutional investors from funds are exempt from income tax, but income tax is levied on capital gains. Based on this tax preference, this paper constructs a decision-making model of fund dividends, theoretically deducing the relationship between institutional investors' dividend demand pressure, fund interest rate and net capital inflow. It is concluded that the greater the pressure on institutional investors' dividends, the higher the dividend yield of fund, which further brings in more capital inflows. Subsequently, this paper empirically analyzes the data of bond funds in 2012-2017, and finds that the increase in the shareholding ratio of institutional investors of bond funds leads to the increase of the dividend yield of the fund, which will bring the net inflows of institutional investors and a net increase in the size of the fund and thus provide evidence of support for the above theoretical results. In addition, the results also exist in hybrid funds, but not in equity funds. This paper has made new theoretical and empirical contributions to the research on the tax catering effect of fund dividends.
引文
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[27]Sirri E R,Tufano P.Costly Search and Mutual Fund Flows[J].Journal of Finance,1998,53(5):1589-1622.
[28]Stiglitz J E.Some aspects of the taxation of capital gains[J].Journal of Public Economics,1983,21(2):257-294.
[29]Susan E.K.Christoffersen.Why Do Money Fund Managers Voluntarily Waive Their Fees?[J].The Journal of Finance,2001,56(3):1117-1140.
[30]Thaler R H,Shefrin H M.An Economic Theory of SelfControl[J].Journal of Political Economy,1981,89(2):392-406.
[31]李科,陆蓉.投资者有限理性与基金营销策略--基金大比例分红的证据[J].管理世界,2011,(11):39-48.
[32]陆蓉,陈百助,徐龙炳,等.基金业绩与投资者的选择--中国开放式基金赎回异常现象的研究[J].经济研究,2007,(06):39-50.
[33]孟庆斌,吴卫星,于上尧.基金经理职业忧虑与其投资风格[J].经济研究,2015,(03):115-130.
[34]谭劲松,林雨晨.机构投资者对信息披露的治理效应--基于机构调研行为的证据[J].南开管理评论,2016,19(05):115-126+138.
[35]左大勇,陆蓉.理性程度与投资行为--基于机构和个人基金投资者行为差异研究[J].财贸经济,2013,34(10):59-69.
[2]Auerbach,A.J.Share valuation and corporate equity policy[J].Journal of Public Economics,1979a,11,291-305.
[3]Baker M,Wurgler J.A Catering Theory of Dividends[J].Journal of Finance,2004,59(3):1125-1165.
[4]Barber B M,Odean T,Zheng L.Out of Sight,Out of Mind:The Effects of Expenses on Mutual Fund Flows[J].Journal of Business,2005,78(6):2095-2120.
[5]Barclay,M.,Pearson,N.,Weisbach,M..Open end mutual funds and capital gains taxes[J].Journal of Financial Economics.1998,49:3-43.
[6]Becker,B.,Z.Ivkovi′c,and S.Weisbenner.Local dividend clienteles[J].The Journal of Finance.2011,66(2):655-683.
[7]BergstresserD,Chalmers J M R,Tufano P.Assessing the Costs and Benefits of Brokers in the Mutual Fund Industry[J].Review of Financial Studies,2009,22(10):4129-4156.
[8]Chevalier,J.and G.Ellison.Risk taking by mutual funds as a response to incentives[J].The Journal of Political Economy.1997,105(6):1167-1200.
[9]Chi-Nien Chung,Xiaowei Rose Luo.Leadership Succession and Firm Performance in an Emerging Economy:Successor Origin,Relational Embeddedness,and Legitimacy[J].Strategic Management Journal,2013,34(3):338-357.
[10]Christoffersen S E K,Evans R,Musto D K.What Do Consumers’Fund Flows Maximize?Evidence from Their Brokers’Incentives[J].Journal of Finance,2013,68(1):201-235.
[11]Constantinides,G.Optimal stock trading with personal taxes:implications for prices and the abnormal january returns[J].Journal of Financial Economics.1984,13:65-89.
[12]Dan S D,Erickson M,Trezevant R.A Test of the Theory of Tax Clienteles for Dividend Policies[J].National Tax Journal,1999,52(2):179-194.
[13]Diane Del Guercio,Paula A.Tkac.The Determinants of the Flow of Funds of Managed Portfolios:Mutual Funds vs.Pension Funds[J].Journal of Financial and Quantitative Analysis,2002,37(4):523-557.
[14]Gil-Bazo J,Ruiz-VerdúP.The Relation between Price and Performance in the Mutual Fund Industry[J].Journal of Finance,2010,64(5):2153-2183.
[15]Graham,J.and A.Kumar.Do dividend clienteles exist?evidence on dividend preferences of retail investors[J].The Journal of Finance,2006,61(3):1305-1336
[16]Harris L E,Hartzmark S M,Solomon D H.Juicing the dividend yield:Mutual funds and the demand for dividends[J].Journal of Financial Economics,2015,116(3):433-451.
[17]Ippolito R A.Consumer Reaction to Measures of Poor Quality:Evidence from the Mutual Fund Industry[J].Journal of Law&Economics,1992,35(1):45-70.
[18]Li W,Lie E.Dividend changes and catering incentives[J].Journal of Financial Economics,2006,80(2):293-308.
[19]Trueman B,Masulis R W.Corporate Investment and Dividend Decisions Under Differential Personal Taxation[J].Journal of Financial&Quantitative Analysis,1988,23(4):369-385.
[20]Miller M H,Modigliani F.Dividend Policy,Growth,and the Valuation of Shares[J].Journal of Business,1961,34(4):411-433.
[21]Miller,M.H.,&Rock,K.Dividend policy under asymmetric information[J].Journal of Finance.1985,40:1031-1051.
[22]Nanda V,Wang Z J,Zheng L.Family Values and the Star Phenomenon:Strategies of Mutual Fund Families[J].Review of Financial Studies,2004,17(3):667-698.
[23]Nicolas P.B.Bollen,Jeffrey A.Busse.On the Timing Ability of Mutual Fund Managers[J].The Journal of Finance,2001,56(3):1075-1094.
[24]Paul R.Rosenbaum,Donald B.Rubin.The central role of the propensity score in observational studies for causal effects[J].Biometrika,1983,70(1):41-55.
[25]Scholz,J.K.A direct examination of the dividend clientele hypothesis[J].Journal of Public Economics.1992,49(3):261-285.
[26]Ramalingegowda S,Yong Y.Institutional ownership and conservatism[J].Journal of Accounting&Economics,2012,53(1-2):98-114.
[27]Sirri E R,Tufano P.Costly Search and Mutual Fund Flows[J].Journal of Finance,1998,53(5):1589-1622.
[28]Stiglitz J E.Some aspects of the taxation of capital gains[J].Journal of Public Economics,1983,21(2):257-294.
[29]Susan E.K.Christoffersen.Why Do Money Fund Managers Voluntarily Waive Their Fees?[J].The Journal of Finance,2001,56(3):1117-1140.
[30]Thaler R H,Shefrin H M.An Economic Theory of SelfControl[J].Journal of Political Economy,1981,89(2):392-406.
[31]李科,陆蓉.投资者有限理性与基金营销策略--基金大比例分红的证据[J].管理世界,2011,(11):39-48.
[32]陆蓉,陈百助,徐龙炳,等.基金业绩与投资者的选择--中国开放式基金赎回异常现象的研究[J].经济研究,2007,(06):39-50.
[33]孟庆斌,吴卫星,于上尧.基金经理职业忧虑与其投资风格[J].经济研究,2015,(03):115-130.
[34]谭劲松,林雨晨.机构投资者对信息披露的治理效应--基于机构调研行为的证据[J].南开管理评论,2016,19(05):115-126+138.
[35]左大勇,陆蓉.理性程度与投资行为--基于机构和个人基金投资者行为差异研究[J].财贸经济,2013,34(10):59-69.