• Login
    View Item 
    •   Home
    • UA Graduate and Undergraduate Research
    • UA Theses and Dissertations
    • Dissertations
    • View Item
    •   Home
    • UA Graduate and Undergraduate Research
    • UA Theses and Dissertations
    • Dissertations
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of UA Campus RepositoryCommunitiesTitleAuthorsIssue DateSubmit DateSubjectsPublisherJournalThis CollectionTitleAuthorsIssue DateSubmit DateSubjectsPublisherJournal

    My Account

    LoginRegister

    About

    AboutUA Faculty PublicationsUA DissertationsUA Master's ThesesUA Honors ThesesUA PressUA YearbooksUA CatalogsUA Libraries

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Treasury bill yield reactions to the 1997 capital gains tax rate reduction

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Thumbnail
    Name:
    azu_td_3089998_sip1_m.pdf
    Size:
    1.599Mb
    Format:
    PDF
    Download
    Author
    Novack, Garth F.
    Issue Date
    2003
    Keywords
    Business Administration, Accounting.
    Economics, Finance.
    Advisor
    Dhaliwal, Dan S.
    
    Metadata
    Show full item record
    Publisher
    The University of Arizona.
    Rights
    Copyright © is held by the author. Digital access to this material is made possible by the University Libraries, University of Arizona. Further transmission, reproduction or presentation (such as public display or performance) of protected items is prohibited except with permission of the author.
    Abstract
    This study tests the equilibrium of after-tax rates of return described in Miller (1977) by investigating whether a change in tax rates affects the return of an investment asset that is not directly taxed by the rate being changed. Using a model of after-tax investment returns I predict the yields of Treasury bills, which are subject only to ordinary tax rates, have an inverse reaction to changes in the capital gains tax rate. In a sample of daily Treasury bill data, yields appear to increase in response to the surprise reduction in capital gains tax rates on May 7, 1997. While small, this increase is statistically significant and is robust to other macroeconomic determinants. These findings contribute to the accounting literature on taxes and investment pricing by providing evidence of Miller's after-tax equilibrium in a potentially cleaner setting than is used in previous studies. Evidence that a financial instrument subject to ordinary rates alone may be affected by the announcement of a change in the capital gains tax rate suggests that shareholder-level taxes are capitalized into prices in ways not investigated by existing research. Accounting researchers will find these results useful because they suggest that the effects of changes in tax rates on asset prices are likely misstated in studies using settings where both the ordinary and capital gains tax rates change. Since the Treasury bill yield forms the basis of many consumer contracts, such as credit card agreements, policy makers should also be interested in these findings because they suggest changes to the capital gains tax rate may have unintended market consequences.
    Type
    text
    Dissertation-Reproduction (electronic)
    Degree Name
    Ph.D.
    Degree Level
    doctoral
    Degree Program
    Graduate College
    Business Administration
    Degree Grantor
    University of Arizona
    Collections
    Dissertations

    entitlement

     
    The University of Arizona Libraries | 1510 E. University Blvd. | Tucson, AZ 85721-0055
    Tel 520-621-6442 | repository@u.library.arizona.edu
    DSpace software copyright © 2002-2017  DuraSpace
    Quick Guide | Contact Us | Send Feedback
    Open Repository is a service operated by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.