Experimental Evidence of the Effect of Tax Rate Uncertainty on Security Prices, Investor Clienteles, and Tax Payments.
通过实验室市场实验，研究了税率不确定性如何影响不同税收待遇证券的价格、投资者客户群形成以及税收收入，发现不确定性降低价格并阻碍客户群形成。
Abstract This paper examines the effect of tax rate uncertainty on security prices, investor clienteles, and tax revenue. A laboratory market selling is employed where differentially taxed investors invest in three differentially taxed riskless securities (fully taxable, partially taxable, and non-taxable). The setting is replicated under conditions of investor tax rate certainty and uncertainty. When tax rates are certain, prices reflect security tax differences and clienteles develop such that investors minimize their total (explicit plus implicit) tax burden. Tax rate uncertainty leads to decreased prices, hence increased returns, for the fully and partially taxable securities as investors demand a premium to hold these "risky" taxable securities. Tax uncertainty also impedes investor clientele formation and results in increased expected tax payments by investors.