Capital Gains Tax Rules, Tax - Loss Trading, And Turn - of - The Year Returns  

Oleh:

Poterba, James M. ; Weisbenner, Scott J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 1 (2001), page 353-368.
Topik: trading; capital gains; studies; statistical analysis; mathematical models; capital losses; tax planning; investment policy; stock prices
Fulltext: p 353.pdf (88.58KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

A variety of explanations have been offered for the unusual behavior of stock returns at the turn of the calendar year. This paper presents new evidence that tax - loss selling by taxable individual investors explains at least part of the return anomaly. Changes in the capital gains tax rules facing individual investors do not affect the incentives for "window dressing" by institutional investors, but they can affect the incentives for year-end tax-induced trading by individual investors. Empirical evidence for the 1963 to 1996 period suggests that when the tax law encouraged taxable investors who accrued losses early in the year to realize their losses before year - end, the correlation between early year losses and turn - of - the - year returns was weaker than when the law did not provide such an early realization incentive.

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