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American Economic Review: Vol. 99 No. 4 (September 2009)
AER Volume. 99, Issue 4 | 
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AER Forthcoming Articles
Tax Changes and Asset Pricing
Article Citation
Sialm, Clemens. 2009. "Tax Changes and Asset Pricing."
American Economic Review,
99(4): 1356-83.
DOI: 10.1257/aer.99.4.1356
DOI: 10.1257/aer.99.4.1356
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.
(JEL G10, G12, H22, H24, N21, N22)
Article Full-Text Access
Full-text Article
Additional Materials
Download Data Set (4.70 MB) | Online Appendix (124.01 KB)
Authors
Sialm, Clemens (U TX)
JEL Classifications
G10: General Financial Markets: General (includes Measurement and Data)
G12: Asset Pricing; Trading volume; Bond Interest Rates
H22: Taxation and Subsidies: Incidence
H24: Personal Income and Other Nonbusiness Taxes and Subsidies; includes inheritance and gift taxes
N21: Economic History: Financial Markets and Institutions: U.S.; Canada: Pre-1913
N22: Economic History: Financial Markets and Institutions: U.S.; Canada: 1913-
G12: Asset Pricing; Trading volume; Bond Interest Rates
H22: Taxation and Subsidies: Incidence
H24: Personal Income and Other Nonbusiness Taxes and Subsidies; includes inheritance and gift taxes
N21: Economic History: Financial Markets and Institutions: U.S.; Canada: Pre-1913
N22: Economic History: Financial Markets and Institutions: U.S.; Canada: 1913-
