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American Economic Review: Vol. 99 No. 4 (September 2009)

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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

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)

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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-


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