Financial Management (Wiley-Blackwell). Autumn2013, Vol. 42 Issue 3, p537-573. 27p.

无形信息和资本利得税对长期收益反转的作用

作者：Bhootra, Ajay (Mihaylo College of Business and Economics, California State University)

摘要：之前的研究将长期反转与锁定的资本利得大小相联系，表明反转是由税收效应而不是过度反应主导的。我们发现当赢者收益基于无形信息时，锁定的资本利得并不能解释赢者的反转。实际上,无形的收益赢者的反转是长期存在的,而且在控制了资产增长和资本支出后是稳健的。就与无形信息相关联的反转源于投资者对无形信息的过度反应而言，再者考虑到之前的研究结果认为反转只与无形信息有关，我的研究结果表明过度反应仍然能解释美国股票收益的反转模式。

On the Role of Intangible Information and Capital Gains Taxes in Long-Term Return Reversals.

Bhootra, Ajay (Mihaylo College of Business and Economics, California State University)

ABSTRACT：Prior studies have linked long-term reversals to the magnitude of locked-in capital gains suggesting that reversals are driven by tax effects and not overreaction. I find that locked-in capital gains do not explain the reversals in winners when winner returns are based on intangible information. In fact, the reversals for intangible return winners are long lasting and robust to controls for growth in assets and capital expenditures. To the extent that reversals associated with intangible information stem from investors' overreaction to intangible information and given the prior results linking reversals only to intangible information, my results suggest that overreaction still explains reversal patterns in US stock returns.

原文链接：

http://web.a.ebscohost.com/ehost/detail/detail?sid=af4d482a-24e0-429a-8188-63f5560012ea%40sessionmgr4007&vid=0&hid=4112&bdata=Jmxhbmc9emgtY24mc2l0ZT1laG9zdC1saXZl#AN=90336078&db=bth

翻译：孙雨琦