We ask whether stock markets react to political leaders' intentions to tax shareholders immediately following their election. Our natural laboratory is the surprising outcome of the September 2021 Japanese Prime Ministerial election. Using an event study approach, we find firms that are vulnerable to a potential tax increase, such as those paying or receiving dividends, demonstrate lower stock returns compared to their counterparts. In contrast, our analysis does not show differences in stock returns between firms earning interest income and those that do not. Moreover, among high dividend yield firms, a striking contrast emerges: those with substantial individual ownership show a decline in stock returns, while those with significant foreign ownership exhibit an increase. These results highlight the targeted impact of shareholder taxation on domestic shareholders, distinguishing them from debt holders or foreign investors, right from Election Day.

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选举日市场对税收提案的反应：来自激烈投票的证据

我们询问股市是否会对政治领导人当选后立即向股东征税的意图做出反应。我们的天然实验室是 2021 年 9 月日本首相选举的令人惊讶的结果。使用事件研究方法，我们发现容易受到潜在增税影响的公司（例如支付或接受股息的公司）与同行相比，股票回报率较低。相比之下，我们的分析并没有显示赚取利息收入的公司和不赚取利息收入的公司之间的股票回报率差异。此外，在高股息收益率公司中，出现了鲜明的对比：拥有大量个人所有权的公司的股票回报率下降，而拥有大量外资所有权的公司的股票回报率则上升。这些结果凸显了股东税对国内股东的有针对性的影响，从选举日起将他们与债务持有人或外国投资者区分开来。