Capital Gains Taxes and Stock Return Volatility

机译：资本利得税和股票收益波动

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We demonstrate that capital gains tax changes inversely affect stock return volatility. A capital gains tax cut reduces the risk sharing between investors and the government and increases stock return volatility. The tax effect on return volatility also differs depending upon the characteristics of stocks such as dividend distribution and embedded capital gains and losses. Using the Tax Relief Act of 1997, we empirically show that the return volatility of the market index, industry portfolios, and individual stocks increases after the capital gains tax cut. Furthermore, higher dividend-paying stocks experience smaller increase in return volatility than lower dividend-paying stocks and stocks with large embedded capital gains and losses see larger increase in return volatility than stocks with small embedded capital gains and losses.

机译：我们证明了资本利得税的变化会反过来影响股票收益的波动性。减免资本利得税减少了投资者与政府之间的风险分担，并增加了股票收益的波动性。收益波动性的税收影响也取决于股票的特征（例如股息分配和嵌入的资本损益）而有所不同。使用1997年的《税收减免法》，我们经验地表明，在削减资本利得税后，市场指数，行业投资组合和个人股票的收益波动性增加。此外，与股息支付能力较低的股票和具有较高资本内含收益和亏损的股票相比，股息支付较高的股票的收益波动性较小，而嵌入式资本收益和损失较小的股票所得到的收益波动率则更大。

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来源
《2007 China International Conference in Finance》|2007年|p.1-51|共51页
会议地点 Chengdu(CN);Chengdu(CN)
作者
Zhonglan Dai; Douglas A. Shackelford; Harold H. Zhang;
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作者单位

School of Management, University of Texas at Dallas, Richardson, TX 75083;

Kenan-Flagler Business School, University of North Carolina, Chapel Hill, NC 27599;

School of Management, University of Texas at Dallas, Richardson, TX 75083;

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中图分类财政、金融;
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Capital Gains Taxes and Stock Return Volatility

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