Capital gains taxes and the market response to public announcements in an indexation-based tax regime |
| |
| Authors: | Greg Clinch Mahmoud Odat |
| |
| Institution: | 1. Department of Accounting, University of Melbourne, Australia;2. College of Business Administration, Taibah University, Saudi Arabia |
| |
| Abstract: | This paper addresses the impact of capital gains taxes on the market price and trading volume response to public announcements in an indexation-based tax regime. Our analysis indicates that indexation makes share prices more responsive to public announcements. Moreover, ‘over responsiveness’ induces negative correlation between short-term price changes around the public announcement and subsequent long-term price movements. This effect is greater when anticipated inflation is higher. Our analysis also indicates that trading volume is increasing in price changes around the public announcement. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
