Speculative Investors and Transactions Tax: Evidence from the Housing Market

References

• Adams W, Einav L, Levin J (2009) Liquidity constraints and imperfect information in subprime lending. Amer. Econom. Rev. 99:49–84.Crossref, Google Scholar
• Amihud Y (2002) Illiquidity and stock returns: Cross-section and time series effects. J. Financial Markets 5:31–56.Crossref, Google Scholar
• Barber T, Parker G (2009) EU leaders urge IMF to consider Tobin tax. Financial Times (December 11), http://www.ft.com/cms/s/0/aa162054-e65e-11de-bcbe-00144feab49a.html#axzz3r6aSoG1q.Google Scholar
• Ben-David I (2011) Financial constraints and inflated home prices during the real-estate boom. Amer. Econom. J.: Appl. Econom. 3(3):55–78.Crossref, Google Scholar
• Bertrand M, Duflo E, Mullainathan S (2004) How much should we trust differences-in-differences estimates? Quart. J. Econom. 119:249–275.Crossref, Google Scholar
• Bloomfield RJ, O’Hara M, Saar G (2009) How noise trading affects markets: An experimental analysis. Rev. Financial Stud. 22:2275–2302.Crossref, Google Scholar
• Cheng I-H, Raina S, Xiong W (2014) Wall Street and the housing bubble. Amer. Econom. Rev. 104:2797–2829.Crossref, Google Scholar
• Chinco A, Mayer C (2016) Misinformed speculators and mispricing in the housing market. Rev. Financial Stud. 29:486–522.Crossref, Google Scholar
• Chou RK, GHK Wang (2006) Transaction tax and market quality of the Taiwan stock index futures. J. Futures Markets 26:1195–1216.Crossref, Google Scholar
• Cutler DM, Poterba JM, Summers LH (1990) Speculative dynamics and the role of feedback traders. Amer. Econom. Rev. 80:63–68.Google Scholar
• Cutler DM, Poterba JM, Summers LH (1991) Speculative dynamics. Rev. Econom. Stud. 58:529–546.Crossref, Google Scholar
• De Long JB, Shleifer A, Summers LH, Waldmann RJ (1990a) Noise trader risk in financial markets. J. Political Econom. 98:703–738.Crossref, Google Scholar
• De Long JB, Shleifer A, Summers LH, Waldmann RJ (1990b) Positive feedback investment strategies and destabilizing rational speculation. J. Finance 45:379–395.Crossref, Google Scholar
• Deng Y, Liu X, Wei S (2014) One fundamental and two taxes: When does a Tobin tax reduce financial price volatility? NBER Working Paper 19974, National Bureau of Economic Research, Cambridge, MA.Crossref, Google Scholar
• Friedman M (1953) The case for flexible exchange rates. Essays in Positive Economics (University of Chicago Press, Chicago),157–203.Google Scholar
• Fu Y, Qian W (2014) Short-term speculators and price overreaction in the housing market. Real Estate Econom. 42:977–1007.Crossref, Google Scholar
• Habermeier K, Kirilenko AA (2003) Securities transaction taxes and financial markets. IMF Staff Papers 50(Special issue):165–180.Google Scholar
• Hau H (2006) The role of transaction costs for financial volatility: Evidence from the Paris bourse. J. Eur. Econom. Assoc. 4(4):862–890.Crossref, Google Scholar
• Haughwout A, Lee D, Tracy J, van der Klaauw W (2011) Real estate investors, the leverage cycle, and the housing market crisis. Federal Reserve Bank of New York Staff Report 514, Federal Reserve Bank of New York, New York.Google Scholar
• Hong H, Stein JC (1999) A unified theory of underreaction, momentum trading, and overreaction in asset markets. J. Finance 54:2143–2184.Crossref, Google Scholar
• Jones CM, Seguin PJ (1997) Transaction costs and price volatility: Evidence from commission deregulation. Amer. Econom. Rev. 87:728–737.Google Scholar
• Kyle AS (1985) Continuous auctions and insider trading. Econometrica 53:1315–1335.Crossref, Google Scholar
• Marsh T, Rosenfeld E (1986) Non-trading, market making, and estimates of stock price volatility. J. Financial Econom. 15:359–372.Crossref, Google Scholar
• Mayer C, Sinai T (2007) Housing and behavioural finance. Working paper, University of Pennsylvania, Philadelphia.Google Scholar
• Parkinson M (1980) The extreme value method for estimating the variance of the rate of return. J. Bus. 53:61–65.Crossref, Google Scholar
• Phylaktis K, Aristidou A (2007) Security transaction taxes and financial volatility: Athens’ stock exchange. Appl. Financial Econom. 17:1455–1467.Crossref, Google Scholar
• Roll R (1989) Price volatility, international market links, and their implication for regulatory policies. J. Financial Services Res. 3:211–246.Crossref, Google Scholar
• Rosen S (1974) Hedonic prices and implicit markets: Product differentiation and pure competition. J. Political Econom. 82:34–55.Crossref, Google Scholar
• Schwert GW, Seguin PJ (1993) Securities transaction taxes: An overview of costs, benefits and unresolved questions. Financial Analysts J. 49:27–35.Crossref, Google Scholar
• Shleifer A, Summers LH (1990) The noise trader approach to finance. J. Econom. Perspect. 4:19–33.Crossref, Google Scholar
• Stiglitz JE (1989) Using tax policy to curb speculative short-term trading. J. Financial Services Res. 3:101–115.Crossref, Google Scholar
• Su Y, Zheng L (2011) The impact of securities transaction taxes on the Chinese stock market. Emerging Markets Finance Trade 47:32–46.Crossref, Google Scholar
• Subrahmanyam A (1998) Transaction taxes and financial market equilibrium. J. Bus. 71:81–118.Crossref, Google Scholar
• Summers LH, Summers VP (1989) When financial markets work too well: A cautious case for a securities transaction tax. J. Financial Services Res. 3:261–286.Crossref, Google Scholar
• Tobin J (1978) A proposal for international monetary reform. Eastern Econom. J. 4:153–159.Google Scholar
• Umlauf SR (1993) Transaction taxes and the behavior of the Swedish stock market. J. Financial Econom. 33:227–240.Crossref, Google Scholar