Tax Changes and Asset Pricing

Author: Sialm, Clemens

Source: The American Economic Review, Volume 99, Number 4, September 2009 , pp. 1356-1383(28)

Publisher: American Economic Association

Key:

- Free Content

- New Content

- Subscribed Content

- Free Trial Content

Abstract:

The tax burden on equity securities has varied substantially over time and remains a source of continuing policy debate. This paper investigates whether investors were compensated for the tax burden of equity securities over the period between 1913 and 2006. Taxes on equity securities vary over time due to changes in dividend and capital gains tax rates and due to changes in corporate payout policies. Equity taxes also vary across firms due to persistent differences in propensities to pay dividends. The results indicate an economically plausible and statistically significant tax capitalization over time and cross-sectionally.

Document Type: Research article

DOI: 10.1257/aer.99.4.1356

The full text electronic article is available for purchase. You will be able to download the full text electronic article after payment.

$19.00 plus tax Refund Policy