Mispricing of Book-Tax Differences and the Trading Behavior of Short Sellers and Insiders
研究发现投资者错误定价了账面税收差异（BTDs）中的信息，低应税收入与账面收入比（TI/BI）预示着更差的盈利增长和异常股票回报，卖空者和内部人虽进行套利但因卖空和内部交易限制而效果有限。
ABSTRACT We find evidence that investors misprice information contained in book-tax differences (BTDs), measured as the ratio of taxable income to book income, TI/BI. Low TI/BI predicts worse earnings growth and abnormal stock returns than high TI/BI. We find that short sellers and insiders arbitrage BTD mispricing, but the arbitrage is imperfect because of constraints on short selling and insider trading. Under SFAS No. 109 the predictability is stronger for TEMP/BI, the temporary component of TI/BI, which reflects greater managerial discretion. The results are incremental to a large set of known accruals-based anomaly predictors. We suggest that a sunshine policy of disclosing a reconciliation of book and taxable incomes can reduce mispricing of BTDs and improve capital market resource allocation. Data Availability: Data are obtained from the public sources as indicated in the text.