L. Peter Jennergren
L. Peter Jennergren: Dept. of Business Administration, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, SE-113 83 Stockholm, Sweden
Abstract: The Swedish wealth tax on individuals imposes an interesting, and unusual, asymmetry on listed stocks. Stocks on the A list of the Stockholm Stock Exchange are subject to the wealth tax, whereas stocks on the O list are not (with some exceptions). This paper attempts to discern the valuation effect of this differential tax treatment. In the first place, it uses data relating to some 25 stocks that lost their wealth tax exemption in 1997, to see what that loss meant to stock prices. In the second place, it uses data from 2000 - 2003 to try to detect value differences between two sets of stocks that are subject to different wealth tax treatments. The wealth tax may result in value differences on the order of 5% to 10% on average in certain cases between otherwise comparable groups of stocks. However, the results in this paper are mostly not significant from a statistical point of view.
25 pages, November 12, 2004
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