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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w12342 |
来源ID | Working 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 |
URL | https://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 |
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