How Do Taxes Affect the Trading Behavior of Private Investors? Evidence from Individual Portfolio Data

• 成果类型: Article
• 署名作者: Buhlmann, Florian; Doerrenberg, Philipp; Loos, Benjamin; Voget, Johannes
• 署名单位: University of Mannheim; University of New South Wales Sydney
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.04213
• 发表日期: 2026
• 关键词: private investors; Trading behavior; capital-gains; taxation; Disposition effect

摘要

The removal of an intertemporal tax discontinuity in Germany provides us with a natural experiment to study the causal effect of taxes on individual stock-trading behavior and the disposition effect. Using individual investor transactions data combined with nonparametric regressions and bunching methods, we find that the presence of the tax discontinuity induces investors to adjust their holding periods, which reduces their effective tax rate by 11.3%. We also find that tax effects dominate the disposition effect in the days around the discontinuity and can inhibit it (by about 20%) during the six months preceding the discontinuity. We discuss the consequences of our results for the firms whose stocks are traded and policy implications.