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- W247689176 abstract "In this paper we investigate the market price and trading volume response to a public announcement in two alternative capital gains tax regimes. The first regime applies a concessional tax rate to long-term gains and losses (the U.S.-style setting). The second regime provides concessional tax treatment via indexation of the cost base (the indexation regime). Our analysis indicates that in both regimes prices will be more responsive to a public signal than when no capital gains tax concessions are present. Moreover, the 'over responsiveness' induces negative correlation between short-term price changes around the public announcement and subsequent long-term price movements. In the U.S.-style setting this effect is greater the larger the differential between tax rates applied to long-term and short-term gains and losses. In the indexation regime the effect is greater when anticipated inflation is higher. Regarding trading volume, the two tax settings generate different effects. In the U.S.-style setting volume is decreasing in price changes around the announcement due to the inhibiting effect of traders wishing to avoid realizing short-term gains. In contrast, in the indexation setting volume is increasing in price change as higher prices provide greater anticipated (indexed) tax shields for the future." @default.
- W247689176 created "2016-06-24" @default.
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- W247689176 date "2009-01-01" @default.
- W247689176 modified "2023-09-23" @default.
- W247689176 title "Capital Gains Taxes and the Market Response to Public Announcements in Alternative Tax Regimes" @default.
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- W247689176 doi "https://doi.org/10.2139/ssrn.1314523" @default.
- W247689176 hasPublicationYear "2009" @default.
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