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Tax Changes and Asset Pricing

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  • Clemens Sialm

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)

Suggested Citation

  • Clemens Sialm, 2009. "Tax Changes and Asset Pricing," American Economic Review, American Economic Association, vol. 99(4), pages 1356-1383, September.
    • Handle: RePEc:aea:aecrev:v:99:y:2009:i:4:p:1356-83
    Note: DOI: 10.1257/aer.99.4.1356
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    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • H22 - Public Economics - - Taxation, Subsidies, and Revenue - - - Incidence
    • H24 - Public Economics - - Taxation, Subsidies, and Revenue - - - Personal Income and Other Nonbusiness Taxes and Subsidies
    • 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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