Capital gains tax rules, tax-loss trading, and turn-of-the-year returns

• 成果类型: Article
• 署名作者: Poterba, JM; Weisbenner, SJ
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00328
• 发表日期: 2001
• 页码: 353-368
• 关键词: STOCK-MARKET BEHAVIOR; LOSS SELLING EXPLAIN; january; taxation; seasonality; investors

摘要

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. These findings suggest that tax-loss trading contributes to turn-of-the-year return patterns.