The Effect on Stock Prices of the Swedish Wealth Tax

Peter Jennergren

No 2004:14, SSE/EFI Working Paper Series in Business Administration from Stockholm School of Economics

Abstract: The Swedish wealth tax on individuals imposes an interesting, and unusual, asymmetry on listed stocks. Stocks on the A list of the Stockholm Stock Exchange are subject to the wealth tax, whereas stocks on the O list are not (with some exceptions). This paper attempts to discern the valuation effect of this differential tax treatment. In the first place, it uses data relating to some 25 stocks that lost their wealth tax exemption in 1997, to see what that loss meant to stock prices. In the second place, it uses data from 2000 - 2003 to try to detect value differences between two sets of stocks that are subject to different wealth tax treatments. The wealth tax may result in value differences on the order of 5% to 10% on average in certain cases between otherwise comparable groups of stocks. However, the results in this paper are mostly not significant from a statistical point of view.

Keywords: Wealth tax; stock prices; book values; accounting earnings; value relevance; abnormal returns (search for similar items in EconPapers)
Pages: 25 pages
Date: 2004-11-12
New Economics Papers: this item is included in nep-fin and nep-pub
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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