Der Einführungszeitpunkt der Abgeltungsteuer zum 1.1.2009 war schon lange in der Öffentlichkeit bekannt. Der Kapitalmarkttheorie folgend wäre bei vollständiger Verarbeitung der bekannten Informationen zu erwarten gewesen, dass die Marktteilnehmer die mit der Abgeltungsteuer verbundene...

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports....

We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, stock liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment effects, which may distort difference-in-differences...

We are interested in the effect of capital income taxes upon security prices when investors face locally segmented stock markets and a global bond market. Therefore, we analyze an equilibrium model of an economy with binomial uncertainty, an exogenous risk-free interest rate and a representative...

We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the premise that tax scale is convex, we analyze prices that do not exhibit arbitrage opportunities. It turns out that there are two kinds of arbitrage: unbounded as well as bounded...

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports....

How responsive is the supply of tax-exempt bonds to state and local government borrowing costs? This question is critical to the effectiveness of current federal tax policies designed to stimulate investment in infrastructure and education. Would states borrow more if their cost of capital were...

Build America Bonds (BABs) are a new form of municipal financing introduced in 2009. Investors in BAB municipal bonds receive interest payments that are taxable, but issuers receive a subsidy from the U.S. Treasury. The BAB program has succeeded in lowering the cost of funding for state and...

Mutual funds are held by investors in taxable and tax-qualified retirement accounts. We investigate whether the characteristics, investment strategies, and performance of mutual funds held by these diverse tax clienteles differ. Examining both mutual fund distributions and mutual fund holdings,...

We derive cross-sectional implications of a capital gains tax rate change on the risk-return tradeoff on stock investment and show that stocks with higher accrued capital gains experience a larger risk-return tradeoff improvement after a capital gains tax rate cut. Stocks with higher dividend...