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Tax‐Induced Trading: The Effect of the 1986 Tax Reform Act on Stock Market Activity
13 references·3 citing·44 second hop
Tax‐Induced Trading: The Effect of the 1986 Tax Reform Act on Stock Market Activity (1989)Tax‐Induced Trading: The Effect of the 19…Volume for Winners and Losers: Taxation and Other Motives for Stock Trading (1986)Volume for Winners and Losers…Social Security, Earnings Tests, and Age at Retirement (1986)Social Security, Earnings Tes…How Burdensome are Capital Gains Taxes? (1986)How Burdensome are Capital Ga…The Effects of Taxation on the Selling of Corporate Stock and the Realization of Capital Gains: Comment (1984)The Effects of Taxation on th…Optimal stock trading with personal taxes (1984)Optimal stock trading with pe…Year-End Tax-Induced Sales and Stock Market Seasonality (1983)Year-End Tax-Induced Sales an…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…Some aspects of the taxation of capital gains (1983)Some aspects of the taxation …Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns (1983)Optimal Stock Trading with Pe…How taxes affect economic behavior (1981)How taxes affect economic beh…The Effects of Taxation on the Selling of Corporate Stock and the Realization of Capital Gains (1980)The Effects of Taxation on th…The effects of the capital gains tax on the selling and switching of common stock (1978)The effects of the capital ga…CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR (1977)CAPITAL GAINS TAXATION AND YE…Taxation, Risk-Taking, and Household Portfolio Behavior**I am grateful to Alan Auerbach, Scott Weisbenner, and participants at the Burch Center Symposium for helpful comments, to Andrew Mitrusi for providing me with data from TAXSIM, and to the Hoover Institution and National Science Foundation for research support. (2002)Taxation, Risk-Taking, and Ho…THE IMPACT OF THE 1986 TAX REFORM ON EX-DIVIDEND DAY VOLUME AND PRICE BEHAVIOR (1996)THE IMPACT OF THE 1986 TAX RE…CAPITAL GAINS TAX RATES AND STOCK MARKET VOLUME (1990)CAPITAL GAINS TAX RATES AND S…Misspecification of capital asset pricing (1981)The relationship between return and market value of common stocks (1981)Size-related anomalies and stock return seasonality (1983)Measuring abnormal performance (1992)Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Stock prices and the Wall Street weather (1993)An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Market Reaction to Stock Splits (1987)The Courage of Misguided Convictions (1999)Optimization Methods in Finance (2006)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The behavior of daily stock market trading volume (1989)Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries (2006)Prospect Theory and the Disposition Effect (2010)Proportional Income Taxation and Risk-Taking (1944)Dividends and taxes (1978)Capital Market Equilibrium with Personal Tax (1983)Tax Evasion and Capital Gains Taxation (1987)A Reexamination of the Value of Tax Options (1989)Tax-Motivated Trading by Individual Investors (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Can Tax-Loss Selling Explain the January Effect? A Note (1987)Tax-Motivated Trading and Price Pressure: An Analysis of Mutual Fund Holdings (2000)Tax‐Loss Selling and the January Effect: Evidence from Municipal Bond Closed‐End Funds (2006)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Stock return seasonalities and the tax-loss selling hypothesis (1983)Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect (1988)Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. (1991)The Adjustment of Stock Prices to New Information (2003)Taxation, corporate financial policy, and the cost of capital (1973)Measuring permanent responses to capital-gains tax changes in panel data (1994)The Trade-Off between Equality and Efficiency (1984)The Price Elasticities of Charitable Contributions: A Meta-Analysis (2005)Chapter 18 Philanthropy (2006)Do capital gain tax rate increases affect individual investors’ trading decisions? (2000)An Empirical Examination of Tax Factors and Mutual Funds' Stock Sales Decisions (2002)Capital Gains Taxes, Pricing Spreads, and Arbitrage: Evidence from Cross-Listed Firms in the U.S. (2009)Do after-tax returns affect mutual fund inflows? (2002)The Information Content of Idiosyncratic Volatility (2009)
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References

  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1983Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns409 cited
  • 1986Volume for Winners and Losers: Taxation and Other Motives for Stock Trading312 cited
  • 1984Optimal stock trading with personal taxes308 cited
  • 1981How taxes affect economic behavior265 cited
  • 1977CAPITAL GAINS TAXATION AND YEAR‐END STOCK MARKET BEHAVIOR262 cited
  • 1983Some aspects of the taxation of capital gains170 cited
  • 1986How Burdensome are Capital Gains Taxes?146 cited
  • 1983Year-End Tax-Induced Sales and Stock Market Seasonality138 cited
  • 1980The Effects of Taxation on the Selling of Corporate Stock and the Realization of Capital Gains121 cited
  • 1984The Effects of Taxation on the Selling of Corporate Stock and the Realization of Capital Gains: Comment101 cited
  • 1978The effects of the capital gains tax on the selling and switching of common stock75 cited
  • 1986Social Security, Earnings Tests, and Age at Retirement30 cited

Cited by

  • 2002Taxation, Risk-Taking, and Household Portfolio Behavior**I am grateful to Alan Auerbach, Scott Weisbenner, and participants at the Burch Center Symposium for helpful comments, to Andrew Mitrusi for providing me with data from TAXSIM, and to the Hoover Institution and National Science Foundation for research support.

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32 cited
  • 1996THE IMPACT OF THE 1986 TAX REFORM ON EX-DIVIDEND DAY VOLUME AND PRICE BEHAVIOR27 cited
  • 1990CAPITAL GAINS TAX RATES AND STOCK MARKET VOLUME25 cited