Capital Gains Taxes and Expected Rates of Return
研究了公司预期税前收益率与投资者资本利得税率之间的关系，发现这种关系比以往文献更复杂，在三种情况下可能为负：公司系统风险很高、市场风险溢价很高、无风险利率很低。
ABSTRACT Prior literature predicts a positive relation between firms' expected pre-tax rates of return and investor-level capital gains tax rates. We show that this relation is more nuanced than suggested by prior literature and that in three circumstances the relation can actually be negative. The first circumstance is when a firm's systematic risk is very high. The second circumstance is when the market risk premium is very high. The third circumstance is when the risk-free rate of return is very low. The circumstances arise because, in addition to reducing investors' expected after-tax cash proceeds, capital gains taxes reduce the risk that investors associate with the expected after-tax cash proceeds.