Securities transaction taxes and stock price informativeness: evidence for France and Italy

被引：0

作者：

da Silva, Paulo Pereira ^{[1
,2
,3
]}

机构：

[1] Univ Evora, CEFAGE, Palacio Vimioso, Largo Marques Marialva 8, P-7000809 Evora, Portugal

[2] Portuguese Secur Commiss, CMVM, Rua Laura Alves 4, P-1064003 Lisbon, Portugal

[3] Lisbon Accounting & Business Sch, ISCAL, Ave Miguel Bombarda 20, P-1069035 Lisbon, Portugal

来源：

FINANCIAL MARKETS AND PORTFOLIO MANAGEMENT | 2023年 / 37卷 / 03期

关键词：

Financial transaction tax; Price informativeness; Difference in differences; FINANCIAL MARKET; EARNINGS; VOLATILITY; FUTURE; IMPACT; NOISE; EQUILIBRIUM; LIQUIDITY; BEHAVIOR; QUALITY;

D O I：

10.1007/s11408-023-00430-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This empirical study addresses the impact of securities transaction taxes (STTs) on price informativeness. Two specific events are assessed: the entry into force of STTs in France and Italy in 2012 and 2013, respectively. Specifically, it is gauged whether those events produced effects on the future earnings response coefficient (FERC)-a proxy for the capacity of investors to anticipate future earnings-of the stocks eligible for the STT. Our findings indicate that the new taxes on securities transactions that entered into force in France and Italy were neutral with respect to the effects on price informativeness. That is, no material changes in the FERC of affected stocks are detected in the aftermath of the STTs' entry into force. This result applies when considering the events in France and Italy separately, and when analyzing different subsets of the sample based on the size, trading activity, and liquidity of the stocks.

引用

页码：325 / 345

页数：21

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