Asset Trade, Real Investment, and a Tilting Financial Transaction Tax

• 成果类型: Article
• 署名作者: Dieler, Tobias; Biswas, Sonny; Calzolari, Giacomo; Castiglionesi, Fabio
• 署名单位: University of Bristol; European University Institute; Centre for Economic Policy Research - UK; Tilburg University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4417
• 发表日期: 2023
• 页码: 2401-2424
• 关键词: Financial transaction tax; market trading; asset price informativeness; Real Investment

摘要

We study the impact of a financial transaction tax (FTT) in a model that combines asset trading and real investment. An informed trader holds private information about the fundamental value of a firm, and the firm'smanager relies on the asset price to infer such information and invest accordingly. We characterize an informative, but illiquid, equilibrium where the firm's value is optimal but trade is inefficiently low, together with an uninformative equilibrium with maximal liquidity but inefficient firm value. Although an FTT inefficiently reduces trading, it may tilt the market's equilibrium and make asset prices more informative. We characterize the situations in which one or the other of these two effects prevails. The analysis also helps us to reconcile some puzzling empirical evidence regarding the adoption of the FTT.