In this paper we investigate the market price and trading volume response to a public announcement in two alternative capital gains tax regimes. The first regime applies a concessional tax rate to long-term gains and losses (the U.S.-style setting). The second regime provides concessional tax...

We investigate the stock price and trading volume effects of differential capital gains taxes applied to short and long-term capital gains when firms disclose public information. We extend the theoretical framework developed in Shackelford and Verrechia (2002) linking differential CGT to price...