High-spin polaron in lightly doped CuO2_2 planes

We device and investigate numerically a minimal yet detailed spin polaron model that describes lightly doped CuO$_2$ layers. The low-energy physics of a hole is studied by total-spin-resolved exact diagonalization on clusters of up to 32 CuO$_2$ unit cells, revealing features missed by previous studies. In particular, spin-polaron states with total spin 3/2 are the lowest eigenstates in several regions of the Brillouin zone. In these regions, and also at other points the quasiparticle weight is identically zero, indicating orthogonal states to those represented in the one electron Green's function. This highlights the importance of proper treatment of spin fluctuations in the many-body background.Comment: To appear in Phys. Rev. Lett. Final version and Supplementary Materials will be available at the journal's websit

Financial transaction taxes: Announcement effects, short-run effects, and long-run effects

We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, stock liquidity and volatility. We extend the empirical research by the identification of FTT announcement and short-run treatment effects, which may distort difference-in-differences estimates. In addition, we account not only for the intraday volatility but also for long-term volatility measures. While we find strong evidence for a positive FTT announcement effect on trading volumes, there is almost no statistically significant evidence for a long-run treatment effect. Thus, existing evidence on a strong reduction of trading volumes resulting from the French FTT might be biased by FTT announcement effects. We also find an increase of intraday volatilities in the announcement period and a significant reduction of weekly and monthly volatilities in the treatment period. Therefore, our findings support theoretical considerations suggesting a stabilizing impact of FTTs on financial markets. While some of our results suggest a reduction of stock prices in the announcement period, our results on bid-ask spreads and daily returns are not fully conclusive

Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports. Analyzing the introduction date of the earlier-announced German capital gains tax reform of 2009 by triple-difference estimation, we find evidence of a delayed market reaction long after the announcement date. Within the last two (five) trading days before the deadline, we observe a sharp increase in abnormal trading volumes of 151.7% (104.0%). The aggregate abnormal return of the German capital market in the last five trading days in 2008 was 10.6%. Furthermore, we find a significant and positive correlation between trading volumes and measures for awareness of the upcoming tax reform (Google searches and media reports)

Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports. Analyzing the introduction date of the earlier-announced German capital gains tax reform of 2009 by triple-difference estimation, we find evidence of a delayed market reaction long after the announcement date. Within the last two (five) trading days before the deadline, we observe a sharp increase in abnormal trading volumes of 151.7% (104.0%). The aggregate abnormal return of the German capital market in the last five trading days in 2008 was 10.6%. Furthermore, we find a significant and positive correlation between trading volumes and measures for awareness of the upcoming tax reform (Google searches and media reports)

(In)attention and turn-of-the-year returns

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports. Analyzing the introduction date of the earlier-announced German capital gains tax reform of 2009 by triple-difference estimation, we find evidence of a delayed market reaction long after the announcement date. Within the last two (five) trading days before the deadline, we observe a sharp increase in abnormal trading volumes of 151.7% (104.0%). The aggregate abnormal return of the German capital market in the last five trading days in 2008 was 10.6%. Furthermore, we find a significant and positive correlation between trading volumes and measures for awareness of the upcoming tax reform (Google searches and media reports)

Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports. Analyzing the introduction date of the earlier-announced German capital gains tax reform of 2009 by triple-difference estimation, we find evidence of a delayed market reaction long after the announcement date. Within the last two (five) trading days before the deadline, we observe a sharp increase in abnormal trading volumes of 151.7% (104.0%). The aggregate abnormal return of the German capital market in the last five trading days in 2008 was 10.6%. Furthermore, we find a significant and positive correlation between trading volumes and measures for awareness of the upcoming tax reform (Google searches and media reports)

The Impact of Tax Awareness and Procrastination

We argue that the impact of capital gains taxation on asset pricing depends on the tax awareness of market participants. While institutional investors should be generally well-informed about tax regulations, private investors have only limited tax knowledge and resources. As a result, market reactions on tax law changes may be delayed if a considerable fraction of market participants is not fully tax-aware. In line with our argument, we find evidence that the introduction of a previously announced German flat tax on private capital gains in 2009 resulted in a temporarily strong and significant increase of trading volumes, daily returns and asset prices. Our research implies that tax law changes provide an opportunity for well-informed investors to generate arbitrage benefits. Corresponding to our estimate, the capital gains tax resulted in an increase demand for shares of 160 % as well as in an price surplus of about 7.4 % within the last two trading days 2008

Financial transaction taxes: Announcement effects, short-run effects, and long-run effects

We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In addition, we consider long-run volatility measures that better fit the French FTT's legislative design. While we find strong evidence of a positive FTT announcement effect on trading volumes, there is almost no statistically significant evidence of a long-run treatment effect. Thus, evidence of a strong reduction of trading volumes resulting from the French FTT might be driven by announcement effects and short-term treatment effects. We find evidence of an increase of intraday volatilities in the announcement period and a significant reduction of weekly and monthly volatilities in the treatment period. Our findings support theoretical considerations suggesting a stabilizing impact of FTTs on financial markets.A completely revised version of this paper has been published as Eichfelder, Sebastian; Noack, Mona; Noth, Felix: The Impact of Financial Transaction Taxes on Stock Markets: Short-run Effects, Long-run Effects, and Reallocation of Trading Activity. IWH Discussion Papers 12/2022. Halle (Saale) 2022. http://hdl.handle.net/10419/25158