Tax policy, corporations, and capital market effects [Elektronische Ressource] / Tina Klautke

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Publié par	goethe_universitat_frankfurt_am_main
Publié le	01 janvier 2008
Nombre de lectures	15
Langue	English
Poids de l'ouvrage	6 Mo

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Tax Policy, Corporations, and Capital
Market Effects
Inaugural-Dissertation
zur Erlangung des Doktorgrades
des Fachbereichs Wirtschaftswissenschaften
der Goethe-Universitat
Frankfurt am Main
Tina Klautke
Limburg an der Lahn
2008 Erstgutachter: Hr. Prof. Dr. Alfons 1. Weichenrieder
Zweitglltachter:
Tag der Promotion:
ii "The art of taxation consists in so plucking
the goose as to obtain the largest possible
amount offeathers with the smallest
possible amount of hissing".
- Jean Baptiste Colbert (1619-1683)
iii Abstract
This dissertation analyzes tax policy, corporations, and capital market effects. First,
the Savings Directive, which has left a loophole by providing grandfathering for some
securities, is examined. It can be shown that investors are not willing to pay a premium for
bonds that are exempt from the withholding rate, so it may be concluded that the supply of
existing loopholes is large enough to allow tax evaders to continue evasion at no additional
cost.
Second, tax neutrality towards alternative financing instruments for corporate
investment is a ubiquitous demand in the political debate. However, the magnitude of possible
efficiency costs of a departure from tax neutrality is hardly discussed. Against this
background, this dissertation discusses the theory of capital structure and provides back-of
the-envelope calculations of the possible efficiency cost of a tax distortion of the debt-equity
decision.
Third, the ex-dividend-day effect in relation to the Gennan tax ref rom of 2000/200 I is
discussed. The abolishment of the imputation system allows reinvestigating the size of the ex
dividend-day effect. I find no structural break in the size of the German ex-dividend-day
effect and no evidence of an ex-dividend-day price drop that exceeds the dividend paid.
Fourth, an account of the quantitative development of tax legislation in post-war
Gennany is presented. It can be shown that the legislative output did not increase over the
decades and is not affected by a split majority in the upper and lower houses. Finally, it turns
out that an increasing fraction of this legislation is passed in December.
iv Contents
Abstract. ................................................................................................................ iv
Contents ................................................................................................................. v
List of Figures ..................................................................................................... vii
List of Tables ...................................................................................................... viii
List of Symobls .................................................................................................... ix
List of Original Papers ......................................................................................... xi
Acknowledgements ............................................................................................. xii
Uberblick ............................................................................................................... I
Overview 7
1. Interest Income Tax Evasion, the EU Savings Directive, and Capital Market
Effects .............................................................................................................. 12
1.1 Introduction ................................................................................................ 12
1.2 The data set 14
1.3 Evidence on return differences .................................................................. 16
104 Conclusions 23
Appendix: Sample of pairs of negotiable securities ........................................ 24
2. Taxes and the Efficiency Costs of Capital Distortions ................................... 26
2.1 Introduction 26
2.2 Theories of capital structure: a brief outline .............................................. 27
2.2.1 The irrelevance hypothesis 27
2.2.2 The trade-off theory ............................................................................. 27
2.2.3 The free-cash-flow hypothesis ............................................................ 28
2.204 The pecking-order ............................................................. 28
2.3 Trade-off theory and taxes: a basic synthesis ............................................ 29
204 Taxes and the debt-equity ratio: empirical results ..................................... 33
204.1 Exploiting differences in nondebt tax shields 33
204.2 Studies with cross-section variation in national nominal tax rates ..... 33
204.3 with variations in international tax rates ................................ 34
2.5 Calculating the efficiency costs ofthe distorted capital structure ............. 35
2.6 Conclusions and outlook ............................................................................ 40
3. The Ex-Dividend-Day Effect and the German Tax Reform of 2000/200 I ... .41
3.1 Introduction ................................................................................................ 41
3.2 The ex-dividend-day effect ........................................................................ 42
3.2.1 Dividend stripping ............................................................................... 42
3.2.2 Taxation of capital gains and dividend payments in Germany ........... 43
3.3 The ex-dividend-day behavior before and after the tax reform ................ .48
3.3.1 The data set. ......................................................................................... 48
3.3.2 Summary statistics 49
3.3.3 Empirical proceedings and results ....................................................... 5 I
3.304 Shareholders of German shares ........................................................... 56
v 3.4. Conclusions ............................................................................................... 58
Appendix: CUSUM test for large dividends ................................................... 59
4. Das steuerpolitische Dezemberfieber: Steuergesetzgebung in Deutschland von
1951-2004 ..................................................................................................... 61
4.1 Einleitung ................................................................................................... 61
4.2 Der Datensatz ............................................................................................. 64
4.3 Empirische Muster in der Steuergesetzgebung ......................................... 69
4.3.1 Abhangigkeit der vom Wahlzyklus .................... 69
4.3.2 Zustimmungspflicht des Bundesrates .................................................. 72
4.3.3 Gesetzgebung im Jahresverlauf.. ......................................................... 78
4.4 Fazit. ........................................................................................................... 82
References .................................. , ..................................................................... 84
Lebenslauf ..................................................... '" ................................................ 89
Ehrenwortliche Erklarung ................................................................................ 91
vi List of Figures
Figure 1.1: Differences in maturity ..................................................................... 16 1.2: Return differences between grandfathered bonds and their twins ... 19
Figure 1.3: Standard deviation of return ratio rtw I ~ .......................................... 20 2.1: Efficiency costs of capital distortion ................................................ 37
Figure 3.1: Distribution of dividend payments by month ................................... 49 3.2: Percentage of firms with a given dividend yiel ................................ 49
Figure 3.3: Dividend yield .................................................................................. 50 3.4: Ex-dividend-day price drop .............................................................. 50
Figure 3.5: Custody account statistic .................................................................. 57 3.6: Sales and acquisitions of domestic shares by foreign investors ....... 58
Abbildung 4.1: Anzahl und Umfang aller erlassenen Gesetze im Zeitverlauf... 65 4.2: und aller im Zeitverlauf (6-
Jahres-Gruppen) ........................................................................ 66
Abbildung 4.3: Anzahl und Umfang aller erlassenen Rechtsverordnungen im
Zeitverlauf (6-Jahres-Gruppen) ................................................. 67
Abbildung 4.4: Anzahl und Umfang aller erlassenen Bundesgesetze im 68
Abbildung 4.5: Anzahl und Umfang aller erlassenen Bundesverordnungen im
Zeitverlauf (6-Jahres-Gruppen) 69
Abbildung 4.6: Anzahl der Bundesgesetze im Jabr vor und im Jahr nach einer
Bundestagswahl ......................................................................... 71
Abbildung 4.7: Anzahl der Bundesverordnungen im Jabr vor und im Jahr nach
einer ................................................................ 72
Abbildung 4.8: Anteil der zustimmungspflichtigen Bundesgesetze ................... 73 4.9: Anteil der Bundesgesetze (6-Jahres-
Gruppen) .................................................................................... 74
Abbild