원문정보
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
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