报告摘要：

   本文研究了资本利得税对盈余公告市场反应的影响。具体来说，我们研究了长短期资本利得税差异如何影响盈余公告的市场反应和盈余反应系数。我们首先通过拓展Shackelford and Verrecchia (2002)(以下简称SV)模型来分析存在资本利得税的前提下公开信息披露后影响股票价格和交易数量的经济因素。接下来，我们对模型分析得到的假设进行了实证检验。我们发现：当长短期资本利得税差异较大时，盈余公告的价格反应增大，数量反应减小。不过，这种价格反应和数量反应的差异在不同信息区域有所差异。只有当理性投资者因为税收和信息的驱动而卖出股票时这种价格放大效应和数量压缩效应才会存在。我们也发现有部分投资者因为长短期资本利得税的差异而不会参与交易。这种流动性损失导致外生交易驱动的价格变动噪音加大。最后，我们通过模型推理和实证检验发现在长短期资本利得税差异较大，股价被高估时，公告信息越积极，盈余反应系数越大。总而言之，我们的理论模型和实证结果证明长短期资本利得税差异影响公司盈余公告的市场反应和盈余反应系数。

    报告人简介：

     William J. Moser，美国迈阿密大学法默商学院会计系助理教授，亚利桑那大学会计学博士，曾在Journal of Accounting Research, Journal of Financial Quantitative Analysis, Review of Accounting Studies, Journal of the American Taxation Association等国际会计金融顶尖杂志发表多篇论文。主要研究领域包括股利税、资本利得税和企业避税等。

Capital Gains Taxes and the Market Response to Earnings Announcements

Greg Clinch

University of Melbourne

Bradley P. Lindsey

North Carolina State University

William J. Moser

Miami University

Mahmoud Odat

Yarmouk University

Abstract

We investigate the effect of capital gains taxes (CGTs) on the market response to earnings announcements under alternative tax regimes. We explore how the differences between short-term capital gains tax rates and long-term capital gains tax rates affects price and volume reactions at firm earnings release dates as well as the earnings response coefficient (ERC). We first extend an extant theoretical model (Shackelford and Verrecchia (2002), hereafter SV) to identify the economic forces that influence equity prices and trading volume in the presence of CGTs when public information is disclosed. We then employ stock price and trading data to investigate and test empirical predictions derived from our model.  Our results indicate that price changes are magnified and volume inhibited during tax regimes in which the difference between short-term capital gains tax rates and long-term capital gains tax rates are larger.  However, the degree of magnification/inhibition for price reaction and trading volume differs across multiple well-defined regions of public signal and supply change realizations. Only in regions where rational taxable and information-motivated investors choose to sell shares at a gain are price changes magnified and trading volume suppressed, based on the difference between short-term and long-term capital gains tax rates.  We also find that it is possible for subsets of investors to choose not to trade due to the presence of a tax rate differential. The resultant loss of market liquidity causes an increase in the noise in the price change due to the presence of exogenous trade.  Finally, our model predicts and we find empirical evidence suggesting that the firm’s earnings response coefficient (ERC) increases in the presence of greater positive earnings surprises during tax regimes with higher tax rate differential for firms with appreciated stock price.  Overall, our theoretical model predicts and our results show that the tax rate differential between short-term and long-term capital gains tax rates affect firm prices, trading volume and earnings response coefficients after the release of actual quarterly earnings announcements.