Replication data for: Tax Changes and Asset Pricing

The tax burden on equity securities has varied substantially over time and
remains a source of continuing policy debate. This paper investigates whether
investors were compensated for the tax burden of equity securities over the
period between 1913 and 2006. Taxes on equity securities vary over time due to
changes in dividend and capital gains tax rates and due to changes in corporate
payout policies. Equity taxes also vary across firms due to persistent differences
in propensities to pay dividends. The results indicate an economically plausible
and statistically significant tax capitalization over time and cross-sectionally.
(JEL G10, G12, H22, H24, N21, N22)

股票证券的税收负担随时间大幅波动，至今仍是政策辩论持续关注的核心议题。本文探究1913年至2006年间，投资者是否因持有股票证券所需承担的税收负担获得了相应补偿。股票证券的税收负担随时间变化的原因包括股息税率与资本利得税率的调整，以及企业派息政策的变动。由于不同企业的股息支付倾向存在持续差异，跨企业的股票税收水平也存在显著区别。研究结果表明，无论是在时间维度还是横截面维度，税收资本化（tax capitalization）效应均具备经济合理性与统计学显著性。（JEL分类号：G10、G12、H22、H24、N21、N22）