TY  - JOUR
AU  - Sialm,Clemens
TI  - Tax Changes and Asset Pricing: Time-Series Evidence
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11756
PY  - 2005
Y2  - November 2005
UR  - http://www.nber.org/papers/w11756
L1  - http://www.nber.org/papers/w11756.pdf
N1  - Author contact info:
Clemens Sialm
University of Texas at Austin
McCombs School of Business
1 University Station; B6600
Austin, TX 78712
Tel: 512-232-6835
E-Mail: clemens.sialm@mccombs.utexas.edu
AB  - The effective tax rate on equity securities has fluctuated considerably in the U.S. between 1917-2004. This study investigates whether personal taxes on equity securities are related to stock valuations using the time-series variation in tax burdens. The paper finds an economically and statistically significant relationship between asset valuations and personal tax rates. Consistent with tax capitalization, stock valuations tend to be relatively low when tax burdens are relatively high.
ER  -