Der Einfluss der Besteuerung von Dividendenausschüttungen auf das Cost-of-Carry-Modell am Beispiel von DAX-Futures unterschiedlicher Laufzeit
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Der Einfluss der Besteuerung von Dividendenausschüttungen auf das Cost-of-Carry-Modell am Beispiel von DAX-Futures unterschiedlicher Laufzeit
Der Übergang vom Vollanrechnungs- zum Halbeinkünfteverfahren
Neumann, Kai | Wißler, Hendrik
Credit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 4 : pp. 499–533
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Kai Neumann, Wismar
Hendrik Wißler, Hamburg
References
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Abstract
The Influence of Dividend Taxation on the Cost-of-Carry Model as Demonstrated by the Example of DAX Futures of Different Lifetimes
Transition from the Full Imputation Method to the Half-Income System
The change in the system of taxing paid dividends from the full imputation method to the half-income system means that the influence of taxation on the cost-of-carry model for evaluating the DAX future is empirically verifiable in a special way. For the purposes of this article, this influence has been measured by the price relationships between DAX futures of different lifetimes because the market prices used in studies of this kind makes the price calculations of suppliers and demanders visible almost without restriction. This study, using the full imputation method, shows for the DAX future a clear influence of dividend payments on the otherwise prevailing price relationship with an implied forward rate that is visibly lower. After this procedure has been replaced by the half-income system for taxing dividends paid in FY 2001, it is obvious that the forward rate has climbed to an out-of-season level so that the price effect of dividend payments is negigible.