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Capital Gains Taxes and Stock Reactions to Quarterly Earnings Announcements

Blouin, Jennifer L. - 2000

This paper examines the impact of capital gains taxes on equity pricing. Examining three-day cumulative abnormal returns for quarterly earning announcements from 1983-1997, we present evidence consistent with shareholders' capital gains taxes affecting stock price responses. To our knowledge,...

Persistent link: https://www.econbiz.de/10012471123

Intertemporal Tax Discontinuities

Shackelford, Douglas A. - 1999

This paper defines an intertemporal tax discontinuity (ITD) as a circumstance in which different tax rates are applied to gains and losses realized at one point in time versus some other point in time, and studies the effects of ITDs on market behaviors at the time of disclosures of firm...

Persistent link: https://www.econbiz.de/10012471332

Style Investing

Barberis, Nicholas - 2000

We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance. Our assumptions imply that news about one style can affect the prices of other apparently unrelated...

Persistent link: https://www.econbiz.de/10012470692

Capitalization of Capital Gains Taxes : Evidence from Stock Price Reactions to the 1997 Rate Reduction

Lang, Mark H. - 1999

We empirically document that stock prices moved inversely with dividend yields during the May, 1997 week, when the White House and Congress agreed on a budget accord that included a reduction in the capital gains tax rate. The share prices of firms not currently paying dividends increased...

Persistent link: https://www.econbiz.de/10012471926

Investor Sentiment and the Closed-End Fund Puzzle

Lee, Charles - 1990

individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds …

Persistent link: https://www.econbiz.de/10012475562

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

De Long, J. Bradford - 1989

Analyses of the role of rational speculators in financial markets usually presume that such investors dampen price fluctuations by trading against liquidity or noise traders. This conclusion does not necessarily hold when noise traders follow positive-feedback investment strategies buy when...

Persistent link: https://www.econbiz.de/10012476174

The Economic Consequences of Noise Traders

De Long, J. Bradford - 1987

The claim that financial markets are efficient is backed by an implicit argument that misinformed "noise traders" can have little influence on asset prices in equilibrium. If noise traders' beliefs are sufficiently different from those of rational agents to significantly affect prices, then...

Persistent link: https://www.econbiz.de/10012476673

Finance and the Preservation of Wealth

Gennaioli, Nicola - 2013

We introduce the model of asset management developed in Gennaioli, Shleifer, and Vishny (2012) into a Solow-style neoclassical growth model with diminishing returns to capital. Savers rely on trusted intermediaries to manage their wealth (claims on capital stock), who can charge fees above costs...

Persistent link: https://www.econbiz.de/10012459544

Salience and Asset Prices

Bordalo, Pedro - 2013

We present a simple model of asset pricing in which payoff salience drives investors' demand for risky assets. The key implication is that extreme payoffs receive disproportionate weight in the market valuation of assets. The model accounts for several puzzles in finance in an intuitive way,...

Persistent link: https://www.econbiz.de/10012459953

Money Doctors

Gennaioli, Nicola - 2012

investment, and allows managers to charge higher fees to investors who trust them more. Money managers compete for investor funds … by setting their fees, but because of trust the fees do not fall to costs. In the model, 1) managers consistently … involve sharing of expected returns between managers and investors, with higher fees in riskier products, 3) managers pander …

Persistent link: https://www.econbiz.de/10012460486