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Impact of the information on tax burden on the stock market

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  • Jolana Stejskalova

    (Department of Finance, Faculty of Business and Economics, Mendel University in Brno, Zemedelska 1, 613 00 Brno, Czech Republic)

Abstract

The paper investigates the relationship between the stock price returns and news about the tax burden of US companies listed on NASDAQ. Special emphasis is put on the role of perception of the news related to changes in tax burden. Using Google Search data, I show that increasing tax searches decrease stock prices. The study investigates the positive relationship between news about tax burden and stock prices, in particular, shocks. The evidence is shown by a variable which provides only the highest search intensity of the economic agents in a specific year. The OLS estimations focus on data in 2004 and in 2005. Changes took place in taxes introduced by president George W. Bush which had great impact on search intensity within the period. He enacted tax breaks for overseas corporate profits. Additionally, I differentiate between the market capitalization by using the dummy variables. Thus I trace the effects separately for the two groups. The results confirmed a higher impact of perception on large cap companies and point out the importance of sentiment analysis at liquid markets.

Suggested Citation

  • Jolana Stejskalova, 2016. "Impact of the information on tax burden on the stock market," MENDELU Working Papers in Business and Economics 2016-62, Mendel University in Brno, Faculty of Business and Economics.
    • Handle: RePEc:men:wpaper:62_2016
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    References listed on IDEAS

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    More about this item

    Keywords

    Google trends; corporate tax; sentiment; stock price; search intensity; capitalization; tax burden;
    All these keywords.

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

    Statistics

    Access and download statistics

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