THE MARKET REACTION TO THE 1986 TAX OVERHAUL: A STUDY OF THE CAPITAL GAIN TAX CHANGE
研究1986年美国税改取消长期资本利得税收优惠后，股票市场的反应，发现高股息收益率股票获得显著正异常收益，低股息收益率股票则相反。
The Tax Reform Act of 1986 (TRA) eliminated the favorable tax treatment on long‐term capital gains in the US. Using a standard event study… CONTENTS AND ABSTRACTS 111 methodology, this paper examines daily stock return reactions to the tax overhaul. The results show that high dividend yield stocks earned a significant positive abnormal return and low yield stocks a significant negative return during the legislation period. This finding is consistent with the notion that the TRA made the market valuation of stocks shift in favor of high yield stocks.