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Securities transaction taxes and stock price informativeness: evidence for France and Italy

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  • Paulo Pereira Silva

    (Universidade de Évora, Palácio do Vimioso
    Portuguese Securities Commission
    ISCAL – Lisbon Accounting and Business School)

Abstract

This empirical study addresses the impact of securities transaction taxes (STTs) on price informativeness. Two specific events are assessed: the entry into force of STTs in France and Italy in 2012 and 2013, respectively. Specifically, it is gauged whether those events produced effects on the future earnings response coefficient (FERC)—a proxy for the capacity of investors to anticipate future earnings—of the stocks eligible for the STT. Our findings indicate that the new taxes on securities transactions that entered into force in France and Italy were neutral with respect to the effects on price informativeness. That is, no material changes in the FERC of affected stocks are detected in the aftermath of the STTs’ entry into force. This result applies when considering the events in France and Italy separately, and when analyzing different subsets of the sample based on the size, trading activity, and liquidity of the stocks.

Suggested Citation

  • Paulo Pereira Silva, 2023. "Securities transaction taxes and stock price informativeness: evidence for France and Italy," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(3), pages 325-345, September.
    • Handle: RePEc:kap:fmktpm:v:37:y:2023:i:3:d:10.1007_s11408-023-00430-5
    DOI: 10.1007/s11408-023-00430-5
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    More about this item

    Keywords

    Financial transaction tax; Price informativeness; Difference in differences;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • H25 - Public Economics - - Taxation, Subsidies, and Revenue - - - Business Taxes and Subsidies

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