Three major measures of implied cost of equity are sensitive to a summary measure on macroeconomic conditions (the Chicago Fed National Activity Index, or CF3) while changes in the tax rates on investors’ dividend income and capital gains do not appear to be insulated from changes in...

This paper tests how macroeconomic conditions affect the value relevance of book and tax income. Based on regression coefficient estimates, more than 8% in the value relevance of book income is dependent on the interaction with a proxy for the macroeconomy. For a possible policy change where tax...