G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w12342
来源IDWorking Paper 12342
Capital Gains Taxes and Asset Prices: Capitalization or Lock-In?
Zhonglan Dai; Edward Maydew; Douglas A. Shackelford; Harold H. Zhang
发表日期2006-06-26
出版年2006
语种英语
摘要This paper examines the impact on asset prices from a reduction in the long-term capital gains tax rate using an equilibrium approach that considers both demand and supply responses. We demonstrate 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. Nondividend paying stocks (whose shareholders only face capital gains taxes) experience higher average returns during the week the capitalization effect dominates and stocks with large embedded capital gains and high tax sensitive investor ownership exhibit lower average returns during the week the lock-in effect dominates. We also find that the tax cut increases the trading volume during the week immediately before and after the tax cut becomes effective and in stocks with large embedded capital gains and high tax sensitive ownership during the dominant lock-in week.
主题Public Economics ; Taxation ; Financial Economics ; Financial Markets ; Microeconomics ; Market Structure and Distribution ; Other ; Accounting, Marketing, and Personnel
URLhttps://www.nber.org/papers/w12342
来源智库National Bureau of Economic Research (United States)
引用统计
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/569999
推荐引用方式
GB/T 7714
Zhonglan Dai,Edward Maydew,Douglas A. Shackelford,et al. Capital Gains Taxes and Asset Prices: Capitalization or Lock-In?. 2006.
条目包含的文件
文件名称/大小 资源类型 版本类型 开放类型 使用许可
w12342.pdf(269KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Zhonglan Dai]的文章
[Edward Maydew]的文章
[Douglas A. Shackelford]的文章
百度学术
百度学术中相似的文章
[Zhonglan Dai]的文章
[Edward Maydew]的文章
[Douglas A. Shackelford]的文章
必应学术
必应学术中相似的文章
[Zhonglan Dai]的文章
[Edward Maydew]的文章
[Douglas A. Shackelford]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w12342.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。