Capital gains taxes and asset prices: Capitalization or lock-in?

• 成果类型: Article
• 署名作者: Dai, Zhonglan; Maydew, Edward; Shackelford, Douglas A.; Zhang, Harold H.
• 署名单位: University of Texas System; University of Texas Dallas; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01329.x
• 发表日期: 2008
• 页码: 709-742
• 关键词: stock; equilibrium; realization; INVESTMENT; incentives; taxation; estate; cost

摘要

This paper demonstrates that the equilibrium impact of capital gains taxes reflects both the capitalization effect (i.e., capital gains taxes decrease demand) and the lock-in effect (i.e., capital gains taxes decrease supply). Depending on time periods and stock characteristics, either effect may dominate. Using the Taxpayer Relief Act of 1997 as our event, we find evidence supporting a dominant capitalization effect in the week following news that sharply increased the probability of a reduction in the capital gains tax rate and a dominant lock-in effect in the week after the rate reduction became effective.