Economics at your fingertips  

Tax Changes and Asset Pricing

Clemens Sialm ()

American Economic Review, 2009, vol. 99, issue 4, 1356-83

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)

JEL-codes: G10 G12 H22 H24 N21 N22 (search for similar items in EconPapers)
Date: 2009
Note: DOI: 10.1257/aer.99.4.1356
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (55) Track citations by RSS feed

Downloads: (external link) (application/pdf) (application/zip) (application/pdf)
Access to full text is restricted to AEA members and institutional subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from

Access Statistics for this article

American Economic Review is currently edited by Esther Duflo

More articles in American Economic Review from American Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Michael P. Albert ().

Page updated 2020-09-08
Handle: RePEc:aea:aecrev:v:99:y:2009:i:4:p:1356-83