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Capital gains tax and equity values: Empirical test of stock price reaction to the introduction and reduction of capital gains tax exemption
16 references·1 citing·39 second hop
Capital gains tax and equity values: Empirical test of stock price reaction to the introduction and reduction of capital gains tax exemption (1992)Capital gains tax and equity values: Empi…Recent Advances in Corporate Finance. (1986)Recent Advances in Corporate …Partially anticipated events: A model of stock price reactions with an application to corporate acquisitions (1985)Partially anticipated events:…On the Use of the Multivariate Regression Model in Event Studies (1985)On the Use of the Multivariat…The Economic Effects of Dividend Taxation (1984)The Economic Effects of Divid…New Evidence That Taxes Affect the Valuation of Dividends (1984)New Evidence That Taxes Affec…Capital Market Equilibrium with Personal Tax (1983)Capital Market Equilibrium wi…The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects? (1982)The Effects of Dividends on C…Dividends and Taxes: Some Empirical Evidence (1982)Dividends and Taxes: Some Emp…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Dividends and taxes (1978)Dividends and taxesDEBT AND TAXES* (1977)DEBT AND TAXES*Debt and Taxes (1977)Debt and TaxesThe effects of dividend yield and dividend policy on common stock prices and returns (1974)The effects of dividend yield…TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970)TAXES, MARKET VALUATION AND C…Marginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION (1963)CORPORATE INCOME TAXES AND TH…Taxation, Risk-Taking, and Household Portfolio Behavior**I am grateful to Alan Auerbach, Scott Weisbenner, and participants at the Burch Center Symposium for helpful comments, to Andrew Mitrusi for providing me with data from TAXSIM, and to the Hoover Institution and National Science Foundation for research support. (2002)Taxation, Risk-Taking, and Ho…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Dividend Policy, Growth, and the Valuation of Shares (1961)Asset pricing and the bid-ask spread (1986)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Optimal bond trading with personal taxes (1984)Optimal Consumption and Investment with Capital Gains Taxes (2001)Prospect Theory and the Disposition Effect (2010)Financial Theory and Corporate Policy. (1980)The relationship between return and market value of common stocks (1981)Anatomy of Initial Public Offerings of Common Stock (1988)Market Expectations in the Cross‐Section of Present Values (2013)Common Risk Factors in Cryptocurrency (2022)Job Market Signaling (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Some anomalous evidence regarding market efficiency (1978)Efficient Capital Markets: II (1991)Is Information Risk a Determinant of Asset Returns? (2002)The Investment, Financing, and Valuation of the Corporation (1963)A Theory of Dividends Based on Tax Clienteles (2000)Exchange Rates and Fundamentals (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of Financial Decision Making. (1988)The cost of capital, corporation finance and the theory of investment (2008)The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States (2013)Determinants of corporate borrowing (1977)The theory and practice of corporate finance: evidence from the field (2001)Macroeconomics and finance: The role of the stock market (1984)Optimal Security Design (1988)The impact of capital structure on the performance of microfinance institutions (2007)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Does Academic Research Destroy Stock Return Predictability? (2015)
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References

  • 1963CORPORATE INCOME TAXES AND THE COST OF CAPITAL: A CORRECTION5,951 cited
  • 1977DEBT AND TAXES*2,896 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1974The effects of dividend yield and dividend policy on common stock prices and returns1,002 cited
  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1970TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY796 cited
  • 1978Dividends and taxes760 cited
  • 1982Dividends and Taxes: Some Empirical Evidence677 cited
  • 1977Debt and Taxes598 cited
  • 1983Capital Market Equilibrium with Personal Tax472 cited
  • 1982The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects?447 cited
  • 1986Recent Advances in Corporate Finance.393 cited
  • 1984The Economic Effects of Dividend Taxation359 cited
  • 1985On the Use of the Multivariate Regression Model in Event Studies350 cited
  • 1985Partially anticipated events: A model of stock price reactions with an application to corporate acquisitions302 cited
  • 1984New Evidence That Taxes Affect the Valuation of Dividends

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  • 2002Taxation, Risk-Taking, and Household Portfolio Behavior**I am grateful to Alan Auerbach, Scott Weisbenner, and participants at the Burch Center Symposium for helpful comments, to Andrew Mitrusi for providing me with data from TAXSIM, and to the Hoover Institution and National Science Foundation for research support.32 cited