This paper presents empirical evidence consistent with the significant impact of tax considerations on risky investments. A relevant statistical methodology is employed to deal with situations for which the arrival information date is uncertain. Moreover, this methodology is also valid for event studies in which the date of the announcement is the same for all assets. The results show significant reactions to the arrival of new information related to chan-ges in capital gains taxation. Finally, the results suggets further changes in tax legislation in order to provide incentives for investment in risky assets.

Keywords: capital gains taxation, arrival of information, event studies.