After documenting CRSP errors in classifying the tax status of distributions, we make use of two important institutional features that the related literature has ignored: (i) tax rate changes and (ii) non-taxable distributions. We find that taxable distributions lead to discount reductions, and the reduction is greater during high tax periods than during low tax periods. By contrast, non-taxable distributions have no discernible impact on the discount, consistent with a tax-based explanation. Importantly, we are able to rule out a competing short-term trading hypothesis. Taken together, our results highlight the importance of personal taxes in explaining closed-end fund discounts.

中文翻译：

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股票封闭式基金折扣和税收

在记录了 CRSP 对分配税收状态分类的错误后，我们利用了相关文献忽略的两个重要制度特征：（i）税率变化和（ii）非应税分配。我们发现，应税分配会导致折扣减少，而且高税期的减少幅度比低税期更大。相比之下，免税分配对折扣没有明显影响，这与基于税收的解释一致。重要的是，我们能够排除竞争的短期交易假设。总而言之，我们的结果凸显了个人税在解释封闭式基金折扣方面的重要性。