Tax Changes and Asset Pricing

• 成果类型: Article
• 署名作者: Sialm, Clemens
• 署名单位: University of Texas System; University of Texas Austin; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.99.4.1356
• 发表日期: 2009
• 页码: 1356-1383
• 关键词: capital gains taxes; ABNORMAL JANUARY RETURNS; dividend taxes; stock returns; market valuation; empirical-evidence; SECURITY RETURNS; personal taxes; payout policy; COMMON-STOCK

摘要

The tax burden on equity securities has varied substantially over time and remains a source of continuing policy debate. This paper investigates whether investors were compensated for the tax burden of equity securities over the period between 1913 and 2006. Taxes on equity securities vary over time due to changes in dividend and capital gains tax rates and due to changes in corporate payout policies. Equity taxes also vary across firms due to persistent differences in propensities to pay dividends. The results indicate an economically plausible and statistically significant tax capitalization over time and cross-sectionally. (JEL G10, G12, H22, H24, N21, N22)