کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
969992 1479460 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Investment taxation and portfolio performance
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Investment taxation and portfolio performance
چکیده انگلیسی

We use the federal tax codes from 1926 through 2009 to construct the after-tax returns that individual investors, corporations, and broker–dealers would have generated on a set of benchmark portfolios. Portfolio strategies differ in the pace of capital gains realizations. This creates important heterogeneity in effective investment taxation beyond that implied by dividend yields. Tax burdens reduce the return premium that value portfolios earn over growth portfolios and the premium of small market capitalization portfolios over large market capitalization portfolios. Tax burdens exacerbate the equity premium puzzle, although they help explain mixed empirical results about the dividend preferences of high income and corporate investors.


► We construct after-tax returns for a set of benchmark portfolios.
► Portfolio strategies differ in the pace of capital gains realizations.
► This difference creates heterogeneity in effective investment taxation.
► Tax burdens reduce the return premia of value and small firm portfolios.
► These tax burdens exacerbate the equity premium puzzle.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Public Economics - Volume 97, January 2013, Pages 245–257
نویسندگان
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