Arbeitspapier

Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports. Analyzing the introduction date of the earlier-announced German capital gains tax reform of 2009 by triple-difference estimation, we find evidence of a delayed market reaction long after the announcement date. Within the last two (five) trading days before the deadline, we observe a sharp increase in abnormal trading volumes of 151.7% (104.0%). The aggregate abnormal return of the German capital market in the last five trading days in 2008 was 10.6%. Furthermore, we find a significant and positive correlation between trading volumes and measures for awareness of the upcoming tax reform (Google searches and media reports).

Sprache
Englisch

Erschienen in
Series: arqus Discussion Paper ; No. 195

Klassifikation
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Personal Income and Other Nonbusiness Taxes and Subsidies; includes inheritance and gift taxes
Accounting
Thema
capital gains tax
asset pricing
tax awareness
tax arbitrage
turn-of-the-year effect
market efficiency

Ereignis
Geistige Schöpfung
(wer)
Eichfelder, Sebastian
Lau, Mona
Ereignis
Veröffentlichung
(wer)
Arbeitskreis Quantitative Steuerlehre (arqus)
(wo)
Berlin
(wann)
2015

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Eichfelder, Sebastian
  • Lau, Mona
  • Arbeitskreis Quantitative Steuerlehre (arqus)

Entstanden

  • 2015

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