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Efectos de la Exención Tributaria a las Ganancias de Capital en el Precio de las Acciones en Chile

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La Reforma al Mercado de Capitales de 2001 en Chile (MK I), estableció la exención del impuesto a la renta para las ganancias de capital provenientes de la enajenación de acciones con presencia bursátil. Los objetivos de la reforma eran aumentar la participación, la profundidad y la liquidez en el mercado local de acciones. Sin embargo, no es evidente cuál es el efecto que tiene una rebaja tributaria en el precio de las acciones ya que hay dos efectos que actúan en sentido contrario. Por un lado, hay un efecto de capitalización que lleva a un aumento en los precios. Por otro lado, hay un efecto lock-in que lleva a una reducción en los precios. Determinar cuál efecto domina es, por lo tanto, una pregunta que debe responderse empíricamente. Este trabajo contribuye a responder esa pregunta, determinando empíricamente los efectos que tuvo la exención tributaria introducida en 2001 en el precio de las acciones en Chile. Utilizando un estimador de diferencias en diferencias, los resultados muestran un impacto anticipado promedio de alrededor de -14% en el precio de las acciones que se cotizan en la Bolsa de Santiago frente a la futura exención tributaria. La elasticidad del precio respecto a la tasa de impuesto, entre 0.006 y 0.01, es mucho menor a la estimada en la literatura económica para otros países a partir de reformas similares, donde la elasticidad fluctúa entre 0.20 y 0.27. Sin embargo, es de magnitud similar a la elasticidad estimada para períodos de tiempo donde el efecto lock-in domina.

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Paper provided by Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines in its series ILADES-Georgetown University Working Papers with number inv233.

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Length: 21 pages
Date of creation: Dec 2009
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Handle: RePEc:ila:ilades:inv233

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Keywords: Ganancias de Capital; Incidencia Tributaria; Mercado de Capitales; Precio de Acciones.;

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