Stamp Duty on Shares and Its Effect on Share Prices
AbstractThis paper provides an empirical study of the effect of a transaction tax on share prices, using changes in the rate of stamp duty in the UK as quasi-experiments. Because the impact of a stamp duty is expected to depend on how frequently particular shares are traded, we employ a difference-of-differences methodology. We find that announcements of reductions in stamp duty had a significant and positive effect on the price of more frequently traded shares compared to less frequently traded shares. As expected under the efficient-markets hypothesis, the subsequent implementation of previously announced cuts did not affect returns differentially.
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Bibliographic InfoArticle provided by Mohr Siebeck, Tübingen in its journal FinanzArchiv.
Volume (Year): 61 (2005)
Issue (Month): 3 (November)
Contact details of provider:
Web page: http://www.mohr.de/fa
Postal: Mohr Siebeck GmbH & Co. KG, P.O.Box 2040, 72010 Tübingen, Germany
Other versions of this item:
- Steve Bond & Mike Hawkins & Alexander Klemm, 2004. "Stamp duty on shares and its effect on share prices," IFS Working Papers W04/11, Institute for Fiscal Studies.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- H29 - Public Economics - - Taxation, Subsidies, and Revenue - - - Other
- E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy
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- A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:CitEc Project, subscribe to its RSS feed for this item.
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"The 2008 Financial Crisis and Taxation Policy,"
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- Tobin tax in Wikipedia (English)
- Tasa Tobin in Wikipedia (Spanish)
- Valuutansiirtovero in Wikipedia (Finnish)
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