Stock returns and tax progressivity

被引：0

作者：

Nofal, Bastian Castro ^{[1
]}

Diaz, Juan D. ^{[2
]}

Cubillos, Pablo Gutierrez ^{[3
]}

Hansen, Erwin ^{[4
]}

机构：

[1] Univ Chile, Fac Econ & Business, Dept Management Control & Informat Syst, Diagonal Paraguay 257,Of 1905, Santiago, Chile

[2] Univ Chile, Fac Econ & Business, Dept Management Control & Informat Syst, Diagonal Paraguay 257,Of 2101, Santiago, Chile

[3] Univ Chile, Fac Econ & Business, Dept Management Control & Informat Syst, Diagonal Paraguay 257,Of 1906, Santiago, Chile

[4] Univ Chile, Fac Econ & Business, Dept Business Adm, Diagonal Paraguay 257,Of 1205, Santiago, Chile

来源：

FINANCE RESEARCH LETTERS | 2024年 / 69卷

关键词：

Stock returns; Risk premium; Tax progressivity; Local projections; LOCAL PROJECTIONS; MARKET; REFORM; INCOME; EMPLOYMENT; INFERENCE; RESPONSES; POLICIES; TAXATION; GROWTH;

D O I：

10.1016/j.frl.2024.106175

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the effects of tax progressivity on stock returns in the US. Using the Local Projection method and the novel progressivity tax data from 1969 to 2016 provided by Borella et al. (2023). We show that a tax progressivity shock reduces stock market returns and the risk premium in the first year after the shock. When we examine industry-level portfolio returns, we find negative effects on the consumer and manufacturing industries but no impact on the health and high-tech industries. Our empirical findings are robust to a battery of robustness tests and are consistent with the stock market anticipating a negative impact of tax progressivity on future GDP growth.

引用

页数：8

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