Information, Capital Gains Taxes & New York Stock Exchange
AbstractWe present evidence regarding the response of stock prices in the New York Stock Exchange to news about capital gains taxes. If information about an upcoming event becomes available, then it should be reflected in prices as soon as the news about it arrives. In the 1980 – 2003 period there are 2383 newspapers articles that address upcoming changes in capital gains taxes. From these articles, we construct two indicator functions to represent information. One that corresponds to news about the upcoming decreases in taxes and the other increases in taxes. Our results indicate that information regarding the event is significant in explaining firm returns.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 0513.
Date of creation: 2005
Date of revision:
Contact details of provider:
Postal: Head Office, Istiklal Cad. 10 Ulus, 06100 Ankara
Phone: (90 312) 507 5000
Fax: (90 312) 507 5640
Web page: http://www.tcmb.gov.tr
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-01 (All new papers)
- NEP-FIN-2006-01-01 (Finance)
- NEP-FMK-2006-01-01 (Financial Markets)
- NEP-PBE-2006-01-01 (Public Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Burman, Leonard E & Randolph, William C, 1994. "Measuring Permanent Responses to Capital-Gains Tax Changes in Panel Data," American Economic Review, American Economic Association, vol. 84(4), pages 794-809, September.
- Kauffman, Kyle & Weerapana, Akila, 2006. "The Impact of AIDS-Related News on Exchange Rates in South Africa," Economic Development and Cultural Change, University of Chicago Press, vol. 54(2), pages 349-68, January.
- James M. Poterba & Scott J. Weisbenner, 1998.
"Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns,"
NBER Working Papers
6616, National Bureau of Economic Research, Inc.
- James M. Poterba, 2001. "Capital Gains Tax Rules, Tax-loss Trading, and Turn-of-the-year Returns," Journal of Finance, American Finance Association, vol. 56(1), pages 353-368, 02.
- Cutler, David M, 1988. "Tax Reform and the Stock Market: An Asset Price Approach," American Economic Review, American Economic Association, vol. 78(5), pages 1107-17, December.
- Joseph E. Stiglitz, 1986.
"Some Aspects of the Taxation of Capital Gains,"
NBER Working Papers
1094, National Bureau of Economic Research, Inc.
- Ferhan Salman, 1999. "Risk-return-volume relationship in an emerging stock market," Discussion Papers 9901, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Fabio Fornari & Carlo Monticelli & Marcello Pericoli & Massimo Tivegna, 1999.
"The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates,"
Temi di discussione (Economic working papers)
358, Bank of Italy, Economic Research and International Relations Area.
- Fornari, Fabio & Monticelli, Carlo & Pericoli, Marcello & Tivegna, Massimo, 2002. "The impact of news on the exchange rate of the lira and long-term interest rates," Economic Modelling, Elsevier, vol. 19(4), pages 611-639, August.
- Andrew Mitrusi & James Poterba, 2000. "The Distribution of Payroll and Income Tax Burdens, 1979-1999," NBER Working Papers 7707, National Bureau of Economic Research, Inc.
- Constantinides, George M., 1984.
"Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns,"
Journal of Financial Economics,
Elsevier, vol. 13(1), pages 65-89, March.
- George M. Constantinides, 1984. "Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns," NBER Working Papers 1176, National Bureau of Economic Research, Inc.
- Rudiger Dornbusch, 1980. "Exchange Rate Economics: Where Do We Stand?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 11(1, Tenth ), pages 143-206.
- Gab-Je Jo & Thomas D. Willett, 2000. "Currency Market Reactions to Good and Bad News During the Asian Crisis," Claremont Colleges Working Papers 2000-59, Claremont Colleges.
- Raymond Fisman, 2001. "Estimating the Value of Political Connections," American Economic Review, American Economic Association, vol. 91(4), pages 1095-1102, September.
- Yitzhaki, Shlomo, 1979. "An Empirical Test of the Lock-in Effect of the Capital Gains Tax," The Review of Economics and Statistics, MIT Press, vol. 61(4), pages 626-29, November.
- Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March.
- Dyl, Edward A, 1977. "Capital Gains Taxation and Year-End Stock Market Behavior," Journal of Finance, American Finance Association, vol. 32(1), pages 165-75, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gulhanim Kayatas).
If references are entirely missing, you can add them using this form.