Capital Gains Taxes and Stock Return Volatility

摘要：

We demonstrate that capital gains tax changes inversely affect stock return volatility. A capital gains tax cut reduces the risk sharing between investors and the government and increases stock return volatility. The tax effect on return volatility also differs depending upon the characteristics of stocks such as dividend distribution and embedded capital gains and losses. Using the Tax Relief Act of 1997, we empirically show that the return volatility of the market index, industry portfolios, and individual stocks increases after the capital gains tax cut. Furthermore, higher dividend-paying stocks experience smaller increase in return volatility than lower dividend-paying stocks and stocks with large embedded capital gains and losses see larger increase in return volatility than stocks with small embedded capital gains and losses.

作者: Zhonglan Dai Douglas A. Shackelford Harold H. Zhang

作者单位: School of Management, University of Texas at Dallas, Richardson, TX 75083 Kenan-Flagler Business School, University of North Carolina, Chapel Hill, NC 27599

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-51

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）