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Corporate Taxes, Partisan Politics, and Stock Returns
Mella, Javier - 2022
I investigate the effect of different measures of corporate taxes on stock returns. The results support the partisan politics cycle effect on equity returns. A high minus low (Hi-Lo) portfolio sorted by (Total Corporate Taxes/Total Assets) has an annual return of +3.8% during Republican...
Persistent link: https://www.econbiz.de/10013309793
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Redistribution of return inequality
Schulz, Karl - 2021
Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...
Persistent link: https://www.econbiz.de/10012499593
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Debt Covenants and Cross-Sectional Equity Returns
Helwege, Jean - 2015
This paper investigates the impact of debt covenant protection on the cross section of equity returns with a firm-level covenant index and four sub-indices. We find that firms with weaker covenant protection (lower covenant index levels) earn significantly higher risk-adjusted equity returns...
Persistent link: https://www.econbiz.de/10013037061
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Does Information Acquisition Alleviate Market Anomalies? Categorization Bias in Stock Splits
Kong, Dongmin - 2019
) individuals can learn the firm fundamentals through information acquisition, which effectively alleviates their categorized bias … role of information acquisition in alleviating behavioral bias and improving decision-making …
Persistent link: https://www.econbiz.de/10012901944
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Information Acquisition and Portfolio Bias in a Dynamic World
Valchev, Rosen - 2017
While international portfolios are still heavily biased towards home assets, the home bias has exhibited a clear … understand the evolution of the home bias, this paper develops a dynamic model of information acquisition and portfolio choice … overall level of the home bias, its decline over time and the fact that the rise in foreign investment has been coordinated on …
Persistent link: https://www.econbiz.de/10012969157
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Sample Selection Bias, Return Moments, and the Performance of Optimal versus Naive Diversification
Li, Bowei - 2016
I examine the sample selection bias in portfolio horse race. Numerous studies propose mean-variance portfolio rules to …
Persistent link: https://www.econbiz.de/10012984969
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Identifying Expectation Errors in Value/Glamour Strategies : A Fundamental Analysis Approach
Piotroski, Joseph D. - 2013
It is well established that value stocks outperform glamour stocks, yet considerable debate exists about whether the return differential reflects compensation for risk or mispricing. Under mispricing explanations, prices of glamour (value) firms reflect systematically optimistic (pessimistic)...
Persistent link: https://www.econbiz.de/10013093880
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Optimal taxation with endogenous return to capital
Arnaldur Sölvi Kristjánsson - 2016
This paper characterizes the optimal income and wealth tax schedules when rates of return are endogenous. Individuals exert investment effort in order to increase the return on their investments. Agents are heterogeneous along two dimensions: their investment ability and their labour market...
Persistent link: https://www.econbiz.de/10011459208
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Optimal taxation with endogenous return on capital
Arnaldur Sölvi Kristjánsson - 2024
This paper characterises optimal taxation when rates of return are affected by effort, ability, and financial advice. When the government observes wealth and capital income, the optimal marginal tax rate on capital income is positive, whereas the rate on wealth is negative in the baseline model....
Persistent link: https://www.econbiz.de/10014577552
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Tax Policy Uncertainty and Stock Return Volatility
Brown, Jennifer L. - 2017
This study finds that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after controlling for other sources of general macroeconomic uncertainty. Further, we find that the relation between TPU and stock return volatility is more pronounced where firms...
Persistent link: https://www.econbiz.de/10012973819