Sooner or Later? – Paradoxical Investment Effects of Capital Gains Taxation under Simultaneous Investment and Abandonment Flexibility

This paper analyzes the impact of capital gains taxation on investment timing decisions for risky investment projects with entry and exit flexibility under differential tax rates for ordinary income and capital gains. We investigate whether capital gains taxation influences immediate and delayed investments asymmetrically, given the optimal abandonment decision. If capital gains taxation induces a lock-in effect, this effect is anticipated in the investment timing decision. In contrast to prior research, our numerical simulations show that this lock-in effect of capital gains taxation can induce normal as well as paradoxical effects on investment timing under simultaneous entry and exit flexibility. A paradoxical timing effect, i.e., investment accelerated by capital gains taxation, especially emerges for high liquidation proceeds or, more conservative tax accounting, low interest rates, and low volatilities. In these cases, capital gains taxation reduces the value of the option to invest and hereby increases the propensity to invest immediately. As a second paradoxical tax effect, capital gains taxation may favor delayed real investment over financial investment. Facing these results, tax legislators should not use capital gains taxation as a short-term tax policy instrument to influence investors' timing decisions.     

What do We Know About Investment Under Uncertainty?

Recent theoretical developments relating to investment under uncertainty have highlighted the importance of irreversibility for the timing of investment expenditures and their expected returns. This has subsequently stimulated a growing empirical literature which examines uncertainty and threshold effects on investment behaviour. This paper presents a review of this literature. A variety of methods have been used to investigate the empirical implication of irreversibility in investment, the majority focusing on the relationship between investment flows and proxy measures of uncertainty. A general conclusion is that increased uncertainty, at both aggregate and disaggregate levels, leads to lower investment rates. This suggests that there is an irreversibility effect, under which greater uncertainty raises the value of the 'call option' to delay a commitment to investment. This effect appears to dominate any positive impact on investment arising from the fact that greater uncertainty, under certain circumstances, increases the marginal profitability of capital. The methods used raise a number of issues which call into question the reliability of the findings, and these are addressed in the paper. However, if such irreversibility effects are present, then their omission from traditional investment models casts doubt on the efficacy of such specifications. JEL Classification: D81, D92, E22     

Tax aggressiveness and idiosyncratic volatility

This study finds that aggressive tax strategies adopted by a firm affect idiosyncratic stock return volatility. Aggressive tax strategies, which I measure as tax paid by a firm divided by pretax income (adjusted for special items), are associated with higher levels of idiosyncratic stock volatility. Uncertainty associated with tax strategies may result due to several factors, such as penalties, fines, and additional tax payments if particular tax strategies are disallowed by taxation authorities, or if there are changes in tax rules. Such uncertainty affects the future cash flows of a firm and is reflected in more volatile stock returns. Financial constraints, corporate governance mechanisms, and information environments surrounding a firm influence the relation between idiosyncratic volatility and effective tax rates.     

竞争条件下公司投资策略的期权博弈

文章认为在未来不确定的条件下投资主体可以通过推迟投资获取新的信息,减少部分关于投资的不确定性,因此,未来的不确定性隐含着推迟的期权,文章运用博弈理论分析了竞争条件下公司间的投资策略的期权博弈。     

隐性税收对企业投资行为的影响分析

隐性税收是一个重要的税收概念,国外学者在上个世纪90年代起已开始进行理论和实证研究。隐性税收对于政府税收制度的建设和企业经营活动的开展都起到积极的理论指导作用,本文将就隐性税收对企业投资地点及投资期限的决策所产生的影响进行详细的分析。开展对于隐性税收问题的研究,不仅具有理论意义,而且更有实践的重大价值。只有迅速建立起包括隐性税收在内的税收理论框架,才能更好的为我国的税制改革与实践服务。     

汇率和需求不确定下跨国投资决策的实物期权分析

在对实物期权理论和跨国投资相关文献研究基础上,分析企业在汇率和需求不确定条件下跨国投资的风险和期权特征,构建了基于实物期权思想的跨国投资决策模型。通过数值求解,分析了跨国投资情况下,企业拥有的实物期权价值。     

我国财政政策对产业结构优化的时变效应

研究目标：财政政策对产业结构优化的时变性影响。研究方法：构建带有随机波动率的时变参数因子扩展向量自回归模型,进而通过三维脉冲响应展开时变性分析。研究发现：财政政策对产业结构优化确实产生了时变效应,在经济衰退时期,应该增加财政支出、提高投资性支出占比,结合小幅度减税、提高营业税和消费税占比;在经济平稳时期,应该减少税收、提高营业税占比、降低增值税占比,结合小幅度增加财政支出、提高投资性支出占比、降低一般公共服务支出占比;在经济高涨时期,应该增加财政支出、提高科技支出和投资性支出占比,结合小幅度减税、提高所得税占比、降低营业税占比。研究创新：应用时变参数计量模型研究了财政政策对产业结构优化的时变效应。研究价值：有助于重新认识财政政策与产业结构优化的关系。     

IMITATING ACCRUAL TAXATION ON A REALIZATION BASIS

Abstract.  While taxation of capital gains upon accrual poses problems of liquidity and valuation, taxation upon realization evokes the so-called lock-in effect that possibly induces distortions of the investors' liquidation and investment decision. The tax schemes, proposed in the literature in order to remedy simultaneously the shortcomings of both taxation methods, are mostly based on the idea of imitating accrual taxation on a realization basis. The paper surveys these proposals of so-called formulaic taxation and develops a uniform formal way of describing the suggested schemes that allows them to be easily compared and evaluated from a theoretic point of view.     

Investment in Fixed Capital Stock: Testing for the Impact of Sectoral and Systemic Uncertainty*

This paper applies current theory recognizing the irreversibility of investment, in order to test for the impact of uncertainty on investment expenditure for a middle income country. The contribution of the paper is unique in two respects. First, it employs dynamic heterogeneous panel estimation techniques not previously applied to investment functions. Secondly, it explicitly tests for the impact of both sectoral and systemic uncertainty on investment expenditure. We find that both sectoral (as measured by output volatility) and systemic uncertainty (as measured by political instability) have a negative impact on investment rates in a middle income country context. Liquidity constraints and growth in total factor productivity are found to have no impact on investment, while trade liberalization has the impact predicted by Heckscher‐Ohlin trade theory. Finally, we find complementarity effects between physical capital and skilled human capital, suggesting that South African educational policies may have hampered investment in physical capital as well as the growth performance of the economy. Policy implications emphasize the importance of lowering uncertainty for investors, and the need for sound human capital investment.     

Evidence of irreversibility in the UK property market

The real options approach to valuation of property investment suggests that various sources of uncertainty about future returns on investment have important effects on irreversible property investment decisions. Our aim in this study has been to examine how investment decisions at three main stages of the property development/investment processes respond to different sources of uncertainty. Based on the methodology developed by Episcopos (1995), the neo-classical proposition of Hartman-Abel that predicts a positive investment-uncertainty relationship is tested against that proposed by the real option theory. It is interesting to note that our empirical findings are generally consistent with the prediction of the real option theory that uncertainty increases the option value to wait for the arrival of new information thus decreasing the current investment activities. In periods of high volatility, we would expect investors in the property market to be more prudent and scale down their investment exposure to market volatility compared with periods of a relatively stable market environment.     

Are Corporate Tax Reductions Real Benefits under Imputation Systems?

Imputation systems integrate corporate and shareholder personal income taxes to alleviate double taxation of dividend income. In this study, we empirically examine whether a corporate tax rate reduction under an imputation tax system benefits shareholders. Using Taiwan as a setting, our analyses indicate that decreasing the corporate tax rate is associated with an increase in dividend payout ratio and foreign investment. Moreover, the increase in dividend payout ratio is even greater for firms that have a higher increase in foreign ownership. Additionally, the market reacts positively to an announcement of a tax rate reduction; specifically, positive stock price reactions are stronger for firms that experienced a greater increase in foreign ownership in response to the tax rate reduction, for firms with greater liquidity constraints and more growth opportunities before the tax rate reduction, and for firms with a bigger decrease in effective tax rates after the tax rate reduction. Overall, we provide evidence that a tax rate reduction is associated with economic impacts and that foreign shareholders appear to be the main beneficiaries of a tax rate reduction under an imputation tax system.     

Corporate investment,dividend decisions,differential taxation and the no-arbitrage condition

Masulis and Trueman (1988) investigated corporate investment and dividend decisions under differential personal taxation. They assumed investors in different tax brackets, a state-preference complete market (which includes pure securities for each state) with a ban on short-selling. They concluded that shareholders prefer non-zero dividend payment. In their model, the restrictions on short-sales were needed to bound tax arbitrage profits, among investors in different tax brackets, so that equilibrium could be reached. However, the joint assumptions of complete markets, and restrictions on short-selling, are inconsistent. By utilizing more recent results, from the tax arbitrage literature, we allow short-selling, and examine the role and implications of the no-arbitrage condition. We show that, with investors in different tax brackets, equilibrium is feasible. We conclude that a revised Masulis and Trueman type model does not explain a non-zero optimal dividend policy.     

The golden rule of urban transportation investment

The purpose of this paper is to find an optimal taxation rule for transportation investment in an ever growing urban economy. First we dynamize a standard circular-city model with identical residents by introducing population growth and transportation improvements over time. Assuming that utility functions are of a constant-elasticity form and transportation investment is financed by an income tax, we prove the existence, uniqueness and stability of a balanced growth equilibrium for each given tax rate. Then, an optimal tax rate is determined so as to maximize the balanced growth equilibrium level of utility for every resident in the city. It is also shown that our simple rule remains valid in the case of two income classes.     

Temporary workers as real options

Firms experiencing or anticipating substantial workforce expansion face increasing pressure to accurately project the costs associated with human asset investments and potential future layoff requirements. With that in mind, the decision whether to take on temporary workers in lieu of hiring permanent employees is a decision that involves significant risk. Traditional valuation methods assume that investments are fully reversible and thus do not capture the idiosyncrasies of workforce management, in which investments are not fully reversible. However, real options theory offers managers the ability to consider irreversibility and to make workforce investment decisions under conditions of minimum uncertainty and maximum flexibility. We present real options theory as an especially useful means for managers to more accurately value human asset investment decisions, achieve expansion and defer commitment until future uncertainties can be at least partially resolved.     

C2C模式电子商务税收问题探析

是否应对C2C模式电子商务征税以及何时征税是近几年研究的热点。本文对C2C模式电子商务征税的可行性和面临的挑战进行了分析,认为对C2C模式电子商务征税有法可依,若对其免税则是对其他经营形式的不公。但同时由于目前社会对C2C电子商务征税缺乏认同,加上我国信息化水平较低,对C2C模式电子商务的税收监管难度大、成本高,因此,在现行的税收体系下无法实现有效征税。此外,C2C电子商务在解决就业等方面能发挥重要作用,对其征税会抑制人们利用网络创业的热情,不利于电子商务的发展。所以,在当前的环境下,对C2C电子商务征税应予以暂缓,对其采取扶持策略;切实推进网络实名制,同时税务部门要加强与电子商务平台的合作,建立基本信息采集制度;加强税务信息化建设,提高税务信息化管理水平,推进税收征管的改革;提高税务人员的综合素质以适应现代网络税收的要求。     

不同类型调控政策对房地产市场影响的实证分析——以江苏省为例

近年来,国家对房地产宏观调控采取的多种政策,可划分为五类,即房地产开发投资规模、土地供应、金融信贷、住房供给结构、税收等政策。文中就这五类政策对房地产市场的影响进行了实证分析和定性分析。实证分析中采取了12个指标,利用了向量自回归模型和广义脉冲响应函数,就五类调控政策和市场形势对住房价格、成交量以及住房需求的影响时间和影响程度进行分析。定性分析中主要分析利率、税收、广义货币供应量M2、高房价等四个因素变化对住房价格、成交量以及住房需求的影响。     

TAXATION AND THE USER COST OF CAPITAL

This paper provides a review of the concept of user cost and its determinants. Particular attention is given to the influence of taxation. The concept of user cost relates to the rental, the rate of return to capital, that arises in a profit maximizing situation in which further investment in capital produces no additional profit. This paper sets out in some detail the range of assumptions involved in obtaining alternative expressions for the user cost. The user cost refers to a before-tax capital rental, the rate of return that ensures that the (after-tax) cost of capital is equal to the post-tax returns over its life. Hence, associated with the user cost measure is an effective marginal tax rate. This can differ substantially from the statutory marginal rate applicable to the investor. A related effective average tax rate is also defined.     

论我国房产税的计税依据

我国将稳步推进房产税的改革,而在改革的过程中需要准确界定房产税的计税依据。为此本文首先分析和比较了面积、市场价值和租金收入三种类型的房产税计税依据的优点和缺点,在此基础上结合公平性的要求、我国现行税收征管水平以及房地产市场现状等情况,提出我国应以市场价值为基准确定房地产税税基。对于房地产市场价值的评估办法,笔者认为居住用房地产价值的评估应该采用“城乡有别”的办法——城市和县城的居住用房地产采用市场比较法进行价值评估;农村地区的房地产采用重置成本法进行价值评估;对于营业用房地产,则采用收益法评估其市场价值。     

Model uncertainty and intertemporal tax smoothing

In this paper we examine how model uncertainty due to the preference for robustness (RB) affects optimal taxation and the evolution of debt in the Barro tax-smoothing model (1979). We first study how the government spending shocks are absorbed in the short run by varying taxes or through debt under RB. Furthermore, we show that introducing RB improves the model׳s predictions by generating (i) the observed relative volatility of the changes in tax rates to government spending, (ii) the observed comovement between government deficits and spending, and (iii) more consistent behavior of government budget deficits in the U.S. economy. Finally, we show that RB can also improve the model׳s predictions in the presence of multiple shocks.     

Mineral Taxation, Mineral Revenues and Mine Investment in Zambia, 1964–83

A bstract . The relationship between mineral taxation, mineral revenues , and investment in existing and new mine capacity in Zambia during 1964–83 is examined. By the mid-1970s the Zambian copper industry was incapable of producing investible surpluses which could be appropriated by government partly because of unfavorable movements in real market prices for mining inputs and mineral output, partly because the mineral taxation systems applied since 1964 had deterred mine investment. This situation can only be remedied by changing the cost structure of Zambia's copper production, requiring major investments in modernization of existing, and development of new, mines. A tax system is suggested which offers a workable compromise between the need to obtain revenues for development and to ensure continued investment in mining.