Capital Gains Taxes and Expected Rates of Return
已有文献认为企业预期税前收益率与投资者资本利得税率正相关，但本文发现这种关系在三种情况下可能为负：企业系统风险极高、市场风险溢价极高或无风险利率极低。
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.