期刊名称：IFS Working Papers / Institute for Fiscal Studies London
电子版ISSN：1742-0415
出版年度：2004
卷号：2004
期号：1
出版社：Institute for Fiscal Studies London
摘要：This paper provides a discussion of stamp duty and its effects. This is followed by an empirical study using changes in the rate of stamp duty in the UK as natural experiments. Because shares will be affected differently depending on how frequently they are traded, we can employ a difference-in-differences methodology. We find that the announcements of cuts in stamp duty had a significant and positive effect on the price of more frequently traded shares compared to other shares. As expected under the efficient markets hypothesis, the implementation of cuts (when at a different date from the announcement) did not affect returns differentially.
