This study investigates the market impact when Specified Investment Flow-Through (SIFT) trusts became liable to an entity tax, announced on October 31, 2006. After-tax valuation ratios indicate an initial after-tax loss of roughly 5% for Ontario taxpayers, which dropped to 3.5% when the legislation took effect in 2011. Tax integration is incomplete, as a 6.3% loss was moderated through beneficial treatment of the return of capital. Lastly, this study finds the after-tax loss for tax-exempt and foreign investors averages 25%, rather than the pre-tax charge of 31.5%. All investors were affected when income trusts were driven from the Canadian market.