We argue that the impact of capital gains taxation on asset pricing depends on the tax awareness of market participants. While institutional investors should be generally well-informed about tax regulations, private investors have only limited tax knowledge and resources. As a result, market reactio...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Eichfelder, Sebastian 1976- (VerfasserIn), Lau, Mona (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Berlin Freie Univ. Berlin, FB Wirtschaftswiss. 2014
Schriftenreihe:	Discussion paper / School of Business & Economics 2014,17 : FACTS
Schlagworte:	Geschichte 2008-2009 Kapitalertragsteuer Steuerreform Deutschland
Online-Zugang:	Volltext
Zusammenfassung:	We argue that the impact of capital gains taxation on asset pricing depends on the tax awareness of market participants. While institutional investors should be generally well-informed about tax regulations, private investors have only limited tax knowledge and resources. As a result, market reactions on tax law changes may be delayed if a considerable fraction of market participants is not fully tax-aware. In line with our argument, we find evidence that the introduction of a previously announced German flat tax on private capital gains in 2009 resulted in a temporarily strong and significant increase of trading volumes, daily returns and asset prices. Our research implies that tax law changes provide an opportunity for well-informed investors to generate arbitrage benefits. Corresponding to our estimate, the capital gains tax resulted in an increase demand for shares of 160 % as well as in an price surplus of about 7.4 % within the last two trading days 2008.
Beschreibung:	1 Online-Ressource (31 S.) graph. Darst.