The Effect of the Expected Holding Period on the Market Reaction to a Decline in the Capital Gains Tax Rate
利用1997年税收减免法案中资本利得税率下调的市场反应，研究发现预期持有期越长，市场正面反应越小，且股利支付状态的影响也减弱，支持税收资本化模型。
We use the market reaction to capital gains tax rate reduction in the 1997 Tax Relief Act to investigate the market reaction to a change in investor-level tax rates. We find that the positive market reaction was lower for dividend-paying securities and securities with longer expected holding periods. Our results also support the hypothesis that a longer expected holding period reduces the impact of the dividend-paying status. These results are consistent with the tax capitalization model and suggest that the expected holding period is a significant variable in explaining the market reaction to a change in capital gains tax rates.