Monthly Archives: December 2014

CAPITAL GAINS TAXES: Introduction 3

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Consistent with investors discounting share prices for expected capital gains taxes, we find returns are decreasing in dividend yields. During the week of the budget accord, the mean return was 12 percent for non-dividend-paying stocks and 6 percent for dividend-paying stocks. The spread exceeded the difference between the groups for any week from January 1995 […]

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CAPITAL GAINS TAXES: Introduction 2

Collins and Kemsley (1998) extend the Harris-Kemsley model to incorporate the capital gains taxes arising from secondary trading. Examining 46,584 observations from 1975-1994, they regress stock prices on book value, earnings, dividends, and the interactions of the maximum statutory capital gains tax rate with earnings and dividends. Consistent with their predictions, they report that the […]

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