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  3. American Economic Review
  4. September 2009
  5. Tax Changes and Asset Pricing

American Economic Review

ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)

Tax Changes and Asset Pricing

  • Clemens Sialm
American Economic Review
vol. 99, no. 4, September 2009
(pp. 1356–83)
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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)

Citation

Sialm, Clemens. 2009. "Tax Changes and Asset Pricing." American Economic Review, 99 (4): 1356–83. DOI: 10.1257/aer.99.4.1356

Additional Materials

JEL Classification

  • G10 General Financial Markets: General (includes Measurement and Data)
  • G12 Asset Pricing; Trading volume; Bond Interest Rates
  • H22 Taxation and Subsidies: Incidence
  • H24 Personal Income and Other Nonbusiness Taxes and Subsidies; includes inheritance and gift taxes
  • N21 Economic History: Financial Markets and Institutions: U.S.; Canada: Pre-1913
  • N22 Economic History: Financial Markets and Institutions: U.S.; Canada: 1913-