TY  - JOUR
AU  - Sialm,Clemens
TI  - Investment Taxes and Equity Returns
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12146
PY  - 2006
Y2  - April 2006
UR  - http://www.nber.org/papers/w12146
L1  - http://www.nber.org/papers/w12146.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  - This paper investigates whether investors are compensated for the tax burden of equity securities. Effective tax rates on equity securities vary due to frequent tax reforms and due to persistent differences in propensities to pay dividends. The paper finds an economically and statistically significant relationship between risk-adjusted stock returns and effective personal tax rates using a new data set covering tax burdens on a cross-section of equity securities between 1927 and 2004. Consistent with tax capitalization, stocks facing higher effective tax rates tend to compensate taxable investors by generating higher before-tax returns.
ER  -