ABSTRACT

We examine the link between income inequality and the price volatility of American Depository Receipts (ADRs). Using a large sample of ADRs across 37 countries, we find that income inequality is negatively associated with ADR volatility. To draw stronger causal inferences, we use the implementation of the French ‘Millionaire Tax’ as a negative shock to the perceived level of income inequality in France. In difference-in-difference tests, we find that volatility for French ADRs vis-à-vis non-French ADRs increased by at least 4.85 percentage points after the tax change. Therefore, instead of creating political and social uncertainty, income inequality has a stabilizing influence on the volatility of stock prices, which we argue is a result of higher-skilled human capital.

摘要

我们研究了收入不平等与美国存托凭证 (ADR) 价格波动之间的联系。使用 37 个国家/地区的大量 ADR 样本，我们发现收入不平等与 ADR 波动性呈负相关。为了得出更有力的因果推论，我们将法国“百万富翁税”的实施作为对法国收入不平等程度的负面冲击。在差异检验中，我们发现法国 ADR 相对于非法国 ADR 的波动性在税收变化后至少增加了 4.85 个百分点。因此，收入不平等不是造成政治和社会不确定性，而是对股价波动产生稳定影响，我们认为这是高技能人力资本的结果。