Earticle

초록

영어

We document that cross-border trades originating from tax havens provide significant information for future stock returns. Based on a unique proprietary dataset that includes all trades in Korea from 2006 to 2009 with buyer and seller identifiers and their country of origin, we find that hedged portfolio return based on net buys from tax havens amounts up to 25 basis points per day. Hedged returns are higher for portfolios composed of accounts that trade small stocks or those that exhibit weak governance or low foreign ownership. Moreover, returns are higher when net buys are constructed from accounts that only trade a single stock, especially a non-top 20 cap stock. We also find that these accounts engage in active buying immediately prior to the disclosure of positive earnings shocks or monopoly supply contract establishments. These findings suggest that one important motivation behind setting up paper companies in tax havens is not simply to hide existing income or wealth to avoid taxes, but to actively utilize insider information to increase their income or wealth.

목차

Abstract
 Abstract
 1. Introduction
 2. Literature Review
 3. Data and Sample Construction
 4. Empirical Results
  4.1. Portfolio Returns based on Net Buys by Investor Location
  4.2. Cross-Sectional Differences in Predictability.
  4.3. Local Tax Rates and Net Capital Flows
  4.4. Portfolio Returns based on Tax Haven Accounts: Concentrated vs. Diversified Trading
  4.5. Trading Activity Prior to Disclosure of Good News
  4.6. Potential Insiders vs. Potential Stock Pickers
 5. Conclusion
 References
 Appendix

키워드

저자

• Woojin Kim [ Associate Professor of Finance, Seoul National University Business School ] Corresponding author
• Cheol-Won Yang [ Associate Professor of Finance, Dankook University, College of Business and Economics ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330