Capital gains taxes and asset prices: Capitalization or lock-in?

被引：74

作者：

Dai, Zhonglan ^{[1
]}

Maydew, Edward ^{[2
]}

Shackelford, Douglas A. ^{[2
,3
]}

Zhang, Harold H. ^{[1
]}

机构：

[1] Univ Texas Dallas, Sch Management, Dallas, TX USA

[2] Univ N Carolina, Kenan Flagler Business Sch, Chapel Hill, NC 27515 USA

[3] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCE | 2008年 / 63卷 / 02期

关键词：

D O I：

10.1111/j.1540-6261.2008.01329.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper demonstrates 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.

引用

页码：709 / 742

页数：34

共 31 条

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