Prior literature predicts a positive relation between firms' expected pre-tax rates of return and investor-level capital gains tax rates. We show that this relation is more nuanced than suggested by prior literature and that in three circumstances the relation can actually be negative. The first...

This paper examines how personal taxes affect the pricing of stocks that are simultaneously listed and traded on multiple exchanges around the globe and what role cross-country arbitrage plays in the dissipation of any such effect. Specifically, we study how an unexpected reduction in U.S....