Investor behaviour in response to Australia's capital gains tax

Brown, P; Ferguson, A; Sherry, S

Investor behaviour in response to Australia's capital gains tax

Brown, P Ferguson, A

Sherry, S

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Publication Type:: Journal Article
Citation:: Accounting and Finance, 2010, 50 (4), pp. 783 - 808
Issue Date:: 2010-12-01

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Field	Value	Language
dc.contributor.author	Brown, P	en_US
dc.contributor.author	Ferguson, A https://orcid.org/0000-0003-0535-0643	en_US
dc.contributor.author	Sherry, S https://orcid.org/0000-0002-9134-5893	en_US
dc.date.issued	2010-12-01	en_US
dc.identifier.citation	Accounting and Finance, 2010, 50 (4), pp. 783 - 808	en_US
dc.identifier.issn	0810-5391	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14027
dc.description.abstract	We calibrate the effect of Australia's Capital Gains Tax (CGT) on share prices and market activity. Based on a large sample drawn from all listed Australian companies for the years 1994-2007, we find significant tax-loss selling (TLS) of shares that lost value over the financial year, which is reflected in unusually high trading volume and more sell orders in June and a rebound in July. There is some evidence that small mining stocks are particular targets for TLS. Interestingly, the 1999 CGT reforms, which introduced concessions for long-term capital gains, did not reduce the incidence of TLS. © 2010 The Authors. Accounting and Finance © 2010 AFAANZ.	en_US
dc.relation.ispartof	Accounting and Finance	en_US
dc.relation.isbasedon	10.1111/j.1467-629X.2010.00352.x	en_US
dc.subject.classification	Accounting	en_US
dc.title	Investor behaviour in response to Australia's capital gains tax	en_US
dc.type	Journal Article
utslib.citation.volume	4	en_US
utslib.citation.volume	50	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
dc.location.activity	ISI:000283725000003	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Accounting Discipline
pubs.organisational-group	/University of Technology Sydney/Students
utslib.copyright.status	closed_access
pubs.issue	4	en_US
pubs.publication-status	Published	en_US
pubs.volume	50	en_US

Abstract:

We calibrate the effect of Australia's Capital Gains Tax (CGT) on share prices and market activity. Based on a large sample drawn from all listed Australian companies for the years 1994-2007, we find significant tax-loss selling (TLS) of shares that lost value over the financial year, which is reflected in unusually high trading volume and more sell orders in June and a rebound in July. There is some evidence that small mining stocks are particular targets for TLS. Interestingly, the 1999 CGT reforms, which introduced concessions for long-term capital gains, did not reduce the incidence of TLS. © 2010 The Authors. Accounting and Finance © 2010 AFAANZ.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/14027