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   報(bào)告摘要：

   本文研究了資本利得稅對(duì)盈余公告市場(chǎng)反應(yīng)的影響。具體來(lái)說(shuō)，我們研究了長(zhǎng)短期資本利得稅差異如何影響盈余公告的市場(chǎng)反應(yīng)和盈余反應(yīng)系數(shù)。我們首先通過(guò)拓展Shackelford and Verrecchia (2002)(以下簡(jiǎn)稱SV)模型來(lái)分析存在資本利得稅的前提下公開(kāi)信息披露后影響股票價(jià)格和交易數(shù)量的經(jīng)濟(jì)因素。接下來(lái)，我們對(duì)模型分析得到的假設(shè)進(jìn)行了實(shí)證檢驗(yàn)。我們發(fā)現(xiàn)：當(dāng)長(zhǎng)短期資本利得稅差異較大時(shí)，盈余公告的價(jià)格反應(yīng)增大，數(shù)量反應(yīng)減小。不過(guò)，這種價(jià)格反應(yīng)和數(shù)量反應(yīng)的差異在不同信息區(qū)域有所差異。只有當(dāng)理性投資者因?yàn)槎愂蘸托畔⒌尿?qū)動(dòng)而賣出股票時(shí)這種價(jià)格放大效應(yīng)和數(shù)量壓縮效應(yīng)才會(huì)存在。我們也發(fā)現(xiàn)有部分投資者因?yàn)殚L(zhǎng)短期資本利得稅的差異而不會(huì)參與交易。這種流動(dòng)性損失導(dǎo)致外生交易驅(qū)動(dòng)的價(jià)格變動(dòng)噪音加大。最后，我們通過(guò)模型推理和實(shí)證檢驗(yàn)發(fā)現(xiàn)在長(zhǎng)短期資本利得稅差異較大，股價(jià)被高估時(shí)，公告信息越積極，盈余反應(yīng)系數(shù)越大?？偠灾?，我們的理論模型和實(shí)證結(jié)果證明長(zhǎng)短期資本利得稅差異影響公司盈余公告的市場(chǎng)反應(yīng)和盈余反應(yīng)系數(shù)。

    報(bào)告人簡(jiǎn)介：

     William J. Moser，美國(guó)邁阿密大學(xué)法默商學(xué)院會(huì)計(jì)系助理教授，亞利桑那大學(xué)會(huì)計(jì)學(xué)博士，曾在Journal of Accounting Research, Journal of Financial Quantitative Analysis, Review of Accounting Studies, Journal of the American Taxation Association等國(guó)際會(huì)計(jì)金融頂尖雜志發(fā)表多篇論文。主要研究領(lǐng)域包括股利稅、資本利得稅和企業(yè)避稅等。

Capital Gains Taxes and the Market Response to Earnings Announcements

Greg Clinch

University of Melbourne

Bradley P. Lindsey

North Carolina State University

William J. Moser

Miami University

Mahmoud Odat

Yarmouk University

Abstract

We investigate the effect of capital gains taxes (CGTs) on the market response to earnings announcements under alternative tax regimes. We explore how the differences between short-term capital gains tax rates and long-term capital gains tax rates affects price and volume reactions at firm earnings release dates as well as the earnings response coefficient (ERC). We first extend an extant theoretical model (Shackelford and Verrecchia (2002), hereafter SV) to identify the economic forces that influence equity prices and trading volume in the presence of CGTs when public information is disclosed. We then employ stock price and trading data to investigate and test empirical predictions derived from our model.  Our results indicate that price changes are magnified and volume inhibited during tax regimes in which the difference between short-term capital gains tax rates and long-term capital gains tax rates are larger.  However, the degree of magnification/inhibition for price reaction and trading volume differs across multiple well-defined regions of public signal and supply change realizations. Only in regions where rational taxable and information-motivated investors choose to sell shares at a gain are price changes magnified and trading volume suppressed, based on the difference between short-term and long-term capital gains tax rates.  We also find that it is possible for subsets of investors to choose not to trade due to the presence of a tax rate differential. The resultant loss of market liquidity causes an increase in the noise in the price change due to the presence of exogenous trade.  Finally, our model predicts and we find empirical evidence suggesting that the firm’s earnings response coefficient (ERC) increases in the presence of greater positive earnings surprises during tax regimes with higher tax rate differential for firms with appreciated stock price.  Overall, our theoretical model predicts and our results show that the tax rate differential between short-term and long-term capital gains tax rates affect firm prices, trading volume and earnings response coefficients after the release of actual quarterly earnings announcements.