Tax Changes and Asset Pricing | Zendy

Clemens Sialm | Zendy

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Tax Changes and Asset Pricing

Author(s) -

Clemens Sialm

Publication year - 2009

Publication title -

american economic review

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 16.936

H-Index - 297

eISSN - 1944-7981

pISSN - 0002-8282

DOI - 10.1257/aer.99.4.1356

Subject(s) - economics , monetary economics , equity (law) , dividend , capitalization , capital gains tax , financial economics , double taxation , finance , ad valorem tax , linguistics , philosophy , political science , law

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. (JEL G10, G12, H22, H24, N21, N22)

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