Show simple item record

The role of shifts in the effective tax rate on the cost of equity

dc.contributor.authorRojo-Suárez, Javier
dc.contributor.authorAlonso-Conde, Ana B.
dc.date.accessioned2024-06-11T10:21:49Z
dc.date.available2024-06-11T10:21:49Z
dc.date.issued2024-03
dc.identifier.citationJavier Rojo-Suárez, Ana B. Alonso-Conde, The role of shifts in the effective tax rate on the cost of equity, Research in Economics, Volume 78, Issue 1, 2024, Pages 61-72, ISSN 1090-9443, https://doi.org/10.1016/j.rie.2024.01.005es
dc.identifier.issn1090-9443 (print)
dc.identifier.issn1090-9451 (online)
dc.identifier.urihttps://hdl.handle.net/10115/33677
dc.description.abstractWe propose an asset pricing model conditional on the effective tax rate, which allows us to explicitly estimate the impact of shifts in corporate taxes on the expected returns of equities. We evaluate the model using Spanish macro and market data to estimate the time-varying average corporate tax rate and average returns of different anomaly portfolios. Our results show that changes in corporate taxation are strongly explanatory of future stock returns and, consequently, the cost of capital of firms. Furthermore, uncertainty about the future tax burden generally translates into higher expected returns, which results in a lower value of firmses
dc.language.isoenges
dc.publisherElsevieres
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectEffective tax ratees
dc.subjectConditioning informationes
dc.subjectCAPMes
dc.subjectTax regulationes
dc.subjectRegulatory riskes
dc.titleThe role of shifts in the effective tax rate on the cost of equityes
dc.typeinfo:eu-repo/semantics/articlees
dc.identifier.doi10.1016/j.rie.2024.01.005es
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses


Files in this item

This item appears in the following Collection(s)

Show simple item record

Attribution-NonCommercial-NoDerivatives 4.0 InternacionalExcept where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internacional