Capital Gains Taxes and Expected Rates of Return

• 成果类型: Article
• 署名作者: Sikes, Stephanie A.; Verrecchia, Robert E.
• 署名单位: University of Pennsylvania
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-50129
• 发表日期: 2012
• 页码: 1067-1086
• 关键词: MARKET VALUATION; IMPLIED COST; investors; taxation; ACT

摘要

Prior literature predicts a positive relation between firms' expected pre-tax rates of return and investor-level capital gains tax rates. We show that this relation is more nuanced than suggested by prior literature and that in three circumstances the relation can actually be negative. The first circumstance is when a firm's systematic risk is very high. The second circumstance is when the market risk premium is very high. The third circumstance is when the risk-free rate of return is very low. The circumstances arise because, in addition to reducing investors' expected after-tax cash proceeds, capital gains taxes reduce the risk that investors associate with the expected after-tax cash proceeds.