개인주주의 투자이익 관련 세법개정이 주식시장에 미치는 영향 = Effects of Tax Law Revisions Related to Individual Shareholders’ Investment Profit on Stock Market

다국어 초록 (Multilingual Abstract)

Although the effect of tax laws revision related to individual investors’ after－tax investment profit on stock reaction is a matter of interest to investors, capital market participants and the taxing authority, it has been hardly investigated enough due to the restriction of data access. Based on collected shareholder stake data of listed companies that appointed the Korea Securities Depository (KSD) as a stock transfer agency, this study analyzed the feature of stock reaction on various event dates related to processes of relevant tax laws revision, which gradually expanded the scope of individual shareholders who bear capital gain tax burdens, around 2013, 2016 and 2017.
The results of this study shows that, first, in the tax laws revision process around 2013, substantial tax capitalization effect was found after the date of issuance of tax laws revision plan, especially in the companies whose ratio of major individual shareholders is relatively high (“higher individual－shareholders companies”, hereafter). Furthermore, significant tax capitalization effect was also found after the date of confirmation of tax laws in the companies whose ratio of major individual shareholders is relatively low (“lower individual－shareholders companies”, hereafter), which implies that the tax capitalization effect could not take place fully to the companies of little interest in capital market, and thus occurrence of original effect could be delayed by the next event date.
Next, in the tax laws revision process around 2016, substantial tax capitalization effect was found after the date of issuance of revenue rulings revision plan in the lower individual－shareholders companies, which is not consistent to the results of previous tax laws revision, and the effect was much higher in the companies which do not pay dividends (“no－dividend companies”, hereafter). Those results imply that increased tax burden from both strengthening comprehensive taxation of financial incomes and expanding the scope of major shareholders could enhance the tax capitalization effect additionally to relevant companies.
Finally, in the tax laws revision process around 2017, substantial tax capitalization effect was found after the date of issuance of tax laws revision plan in the no－dividend companies. Furthermore, the lock－in effect was found after the date of issuance of revenue rulings revision plan in those companies, which implies that tax evasion through temporarily lowering the market value around year－end is prevalent among capital market participants.

참고문헌 (Reference)

1 박상인, "한국 자본주의 특성 연구" 시장과 정부 연구센터 2014

2 이화진, "주주지분의 가치평가와 배당소득세 효과 : 배당정책과 조세특성의 영향" 한국공인회계사회 (40) : 2004

3 이영한 ; 이태규, "소액주주의 상장주식 자본이득 과세추진에 대한 자본시장의 반응" 한국세무학회 13 (13): 159-188, 2012

4 고종권, "배당의 변화와 배당소득세가 주가에 미치는 영향" 한국회계학회 30 (30): 189-216, 2005

5 고종권, "배당소득세와 기관지분율이 주식수익률에 비치는 영향" 한국회계학회 29 (29): 249-276, 2004

6 박광훈, "배당세와 기업가치" 한국회계학회 28 (28): 33-48, 2003

7 기은선 ; 황문호, "금융소득 종합과세 기준금액 인하가 기업의 배당정책에 미치는 영향" 한국세무학회 31 (31): 213-242, 2014

8 Ayers, B., "The effect of shareholder－level dividend taxes on stock price : Evidence from the Revenue Reconciliation Act of 1993" 77 (77): 933-947, 2002

9 조정원 ; 정재현, "The Effect of Shareholder-Level Dividend Tax Changes on Stock Market Response" 한국조세연구포럼 16 (16): 7-36, 2016

10 Ayers, B., "Shareholder taxes in acquisition premiums : The effect of capital gains taxation" 58 : 2783-2801, 2003

11 유재봉 ; 전병욱, "Effects of Tax law Revision related to Individual Shareholders’ Investment Profit on Ownership Structure" 한국공인회계사회 60 (60): 281-312, 2018

12 Dhaliwal, D., "Dividend taxes and implied cost of equity capital" 43 : 675-708, 2005

13 Harris, T. S., "Dividend taxation in firm valuation : New evidence" 37 : 275-292, 1999

14 McKenzie K. J., "Dividend taxation and equity value : The Canadian Tax Changes of 1986" 28 (28): 463-472, 1995

15 Blouin, J., "Discussion of dividend tax clienteles : Evidence from tax law changes" 31 : 23-28, 2009

16 Lang, M., "Capitalization of capital gains taxes : Evidence from stock price reactions to the 1997 Rate Reductions" 76 : 69-85, 2000

17 Dai, Z., "Capital gains taxes and asset prices : Capitalization or lock－In" NBER 2006

18 Ellis, K., "Capital gains taxes and IPO under－pricing" University of Notre Dame and University of Texas at Austin 2006

19 Reese, W., "Capital gains taxation and stock market activity : Evidence from IPOs" 53 : 1799-1820, 1998

20 Poterba, J., "Capital gains tax rules, tax－loss trading, and turn－of－the －year returns" 56 : 353-368, 2001

21 Jin, L., "Capital gains tax overhang and price pressure" 61 : 1399-1430, 2006