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Liquidity, Investor-Level Tax Rates, and Expected Rates of ReturnStephanie A. SikesUniversity of Pennsylvania - Accounting Department Robert E. VerrecchiaUniversity of Pennsylvania - Accounting Department February 2012 2012 American Taxation Association Midyear Meeting: Research-In-Process Abstract: Prior research predicts a positive relation between expected rates of return and investor-level tax rates. We provide new theory that predicts that lower liquidity amplifies and higher liquidity attenuates this positive relation. We empirically test our prediction using the cuts to individual investors’ maximum statutory tax rates on dividend income and capital gain income enacted by the Jobs and Growth Tax Relief Reconciliation Act of 2003 (JGTRRA03). working papers series Date posted: February 13, 2012Suggested CitationContact Information
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