 Impact of the information on tax burden on the stock marketNo 2016-62, MENDELU Working Papers in Business and Economics from Mendel University in Brno, Faculty of Business and Economics Abstract: The paper investigates the relationship between the stock price returns and news about the tax burden of US companies listed on NASDAQ. Special emphasis is put on the role of perception of the news related to changes in tax burden. Using Google Search data, I show that increasing tax searches decrease stock prices. The study investigates the positive relationship between news about tax burden and stock prices, in particular, shocks. The evidence is shown by a variable which provides only the highest search intensity of the economic agents in a specific year. The OLS estimations focus on data in 2004 and in 2005. Changes took place in taxes introduced by president George W. Bush which had great impact on search intensity within the period. He enacted tax breaks for overseas corporate profits. Additionally, I differentiate between the market capitalization by using the dummy variables. Thus I trace the effects separately for the two groups. The results confirmed a higher impact of perception on large cap companies and point out the importance of sentiment analysis at liquid markets. Keywords: Google trends; corporate tax; sentiment; stock price; search intensity; capitalization; tax burden (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:men:wpaper:62_2016 Access Statistics for this paper More papers in MENDELU Working Papers in Business and Economics from Mendel University in Brno, Faculty of Business and Economics Contact information at EDIRC. |
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