This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Tax-Motivated Trading by Individual Investors Author info | Abstract | Publisher info | Download info | Related research | Statistics Zoran Ivkovic
James Poterba
Scott Weisbenner
Additional information is available for the following
registered author(s):
We analyze stock trades made by individuals holding stock in both taxable and tax-deferred accounts. By comparing trades across these two types of accounts, we uncover a capital gains lock-in effect in taxable accounts. The lock-in effect is more pronounced for large stock transactions and for stocks held for at least 12 months. Over shorter horizons, the disposition effect outweighs the lock-in effect. Comparison of loss realizations in taxable and tax-deferred accounts yields evidence of tax-loss selling throughout the year. Effective accrual tax rates for stocks that experience substantial appreciation are substantially below the statutory tax rate on long-term gains.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Article provided by American Economic Association in its journal American Economic Review .
Volume (Year): 95 (2005)
Issue (Month): 5 (December)
Pages: 1605-1630
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Handle: RePEc:aea:aecrev:v:95:y:2005:i:5:p:1605-1630Contact details of provider: Email: Web page: http://www.aeaweb.org/aer/ More information through EDIRC
Order Information: Web: http://www.aeaweb.org/subscribe.html
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Kahneman, Daniel & Tversky, Amos, 1979.
"Prospect Theory: An Analysis of Decision under Risk ,"
Econometrica ,
Econometric Society, vol. 47(2), pages 263-91, March.
[Downloadable!] (restricted)
Mark Grinblatt, 2001.
"What Makes Investors Trade? ,"
Journal of Finance ,
American Finance Association, vol. 56(2), pages 589-616, 04.
[Downloadable!] (restricted)
Other versions: Badrinath, S G & Lewellen, Wilbur G, 1991.
" Evidence on Tax-Motivated Securities Trading Behavior ,"
Journal of Finance ,
American Finance Association, vol. 46(1), pages 369-82, March.
[Downloadable!] (restricted)
Han, Aaron & Hausman, Jerry A, 1990.
"Flexible Parametric Estimation of Duration and Competing Risk Models ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 5(1), pages 1-28, January-M.
[Downloadable!] (restricted)
George M. Constantinides, 1984.
"Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns ,"
NBER Working Papers
1176, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Dammon, Robert M & Spatt, Chester S, 1996.
"The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 9(3), pages 921-52.
[Downloadable!] (restricted)
Constantinides, George M. & Ingersoll, Jonathan Jr., 1984.
"Optimal bond trading with personal taxes ,"
Journal of Financial Economics ,
Elsevier, vol. 13(3), pages 299-335, September.
[Downloadable!] (restricted)
Protopapadakis, Aris, 1983.
"Some Indirect Evidence on Effective Capital Gains Tax Rates ,"
Journal of Business ,
University of Chicago Press, vol. 56(2), pages 127-38, April.
[Downloadable!] (restricted)
Terrance Odean, 1998.
"Are Investors Reluctant to Realize Their Losses? ,"
Journal of Finance ,
American Finance Association, vol. 53(5), pages 1775-1798, October.
[Downloadable!] (restricted)
Meyer, Bruce D, 1990.
"Unemployment Insurance and Unemployment Spells ,"
Econometrica ,
Econometric Society, vol. 58(4), pages 757-82, July.
[Downloadable!] (restricted)
Other versions: Poterba, James M., 1987.
"How burdensome are capital gains taxes?: Evidence from the United States ,"
Journal of Public Economics ,
Elsevier, vol. 33(2), pages 157-172, July.
[Downloadable!] (restricted)
Ritter, Jay R, 1988.
" The Buying and Selling Behavior of Individual Investors at the Turn of the Year ,"
Journal of Finance ,
American Finance Association, vol. 43(3), pages 701-17, July.
[Downloadable!] (restricted)
Gonul, F. & Srinivasan, K., 1993.
"Consumer Purchase Behavior in a frequently Bought Product Category: Estimation Issues and Managerial Insights from a Hazard Function Model with Heterogeneity ,"
University of Chicago - Economics Research Center
93-1, Chicago - Economics Research Center.
Grinblatt, Mark & Moskowitz, Tobias J., 2004.
"Predicting stock price movements from past returns: the role of consistency and tax-loss selling ,"
Journal of Financial Economics ,
Elsevier, vol. 71(3), pages 541-579, March.
[Downloadable!] (restricted)
Brad M. Barber & Terrance Odean, 2001.
"Boys Will Be Boys: Gender, Overconfidence, And Common Stock Investment ,"
The Quarterly Journal of Economics ,
MIT Press, vol. 116(1), pages 261-292, February.
[Downloadable!] (restricted)
James M. Poterba, 2001.
"Capital Gains Tax Rules, Tax-loss Trading, and Turn-of-the-year Returns ,"
Journal of Finance ,
American Finance Association, vol. 56(1), pages 353-368, 02.
[Downloadable!] (restricted)
Other versions: Grinblatt, Mark & Keloharju, Matti, 2004.
"Tax-loss trading and wash sales ,"
Journal of Financial Economics ,
Elsevier, vol. 71(1), pages 51-76, January.
[Downloadable!] (restricted)
Other versions:
Mark Grinblatt & Matti Keloharju, 2000.
"Tax-Loss Trading and Wash Sales ,"
Yale School of Management Working Papers
ysm148, Yale School of Management.
[Downloadable!] Mark Grinblatt & Matti Keloharju, 2002.
"Tax-Loss Trading and Wash Sales ,"
NBER Working Papers
8745, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Mark Grinblatt & Matti Keloharju, 2000.
"Tax Loss Trading and Wash Sales ,"
University of California at Los Angeles, Anderson Graduate School of Management
1059, Anderson Graduate School of Management, UCLA.
[Downloadable!] Barber, Brad M. & Odean, Terrance, 2004.
"Are individual investors tax savvy? Evidence from retail and discount brokerage accounts ,"
Journal of Public Economics ,
Elsevier, vol. 88(1-2), pages 419-442, January.
[Downloadable!] (restricted)
James M. Poterba, 1986.
"How Burdensome Are Capital Gains Taxes? ,"
Working papers
410, Massachusetts Institute of Technology (MIT), Department of Economics.
Other versions: Brad M. Barber & Terrance Odean, 2000.
"Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors ,"
Journal of Finance ,
American Finance Association, vol. 55(2), pages 773-806, 04.
[Downloadable!] (restricted)
Stiglitz, Joseph E., 1983.
"Some aspects of the taxation of capital gains ,"
Journal of Public Economics ,
Elsevier, vol. 21(2), pages 257-294, July.
[Downloadable!] (restricted)
Other versions: Seyhun, H Nejat & Skinner, Douglas J, 1994.
"How Do Taxes Affect Investors' Stock Market Realizations? Evidence from Tax-Return Panel Data ,"
Journal of Business ,
University of Chicago Press, vol. 67(2), pages 231-62, April.
[Downloadable!] (restricted)
Balcer, Yves & Judd, Kenneth L, 1987.
" Effects of Capital Gains Taxation on Life-Cycle Investment and Portfolio Management ,"
Journal of Finance ,
American Finance Association, vol. 42(3), pages 743-58, July.
[Downloadable!] (restricted)
Shefrin, Hersh & Statman, Meir, 1985.
" The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence ,"
Journal of Finance ,
American Finance Association, vol. 40(3), pages 777-90, July.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Zoran Ivkovich & Scott Weisbenner, 2007.
"Information Diffusion Effects in Individual Investors' Common Stock Purchases Covet Thy Neighbors' Investment Choices ,"
NBER Working Papers
13201, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
V. V. Chari & Mikhail Golosov & Aleh Tsyvinski, 2005.
"Business Start-ups, The Lock-in Effect, and Capital Gains Taxation ,"
Levine's Bibliography
784828000000000439, UCLA Department of Economics.
[Downloadable!]
Other versions: Clemens Sialm, 2005.
"Tax Changes and Asset Pricing: Time-Series Evidence ,"
NBER Working Papers
11756, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Clemens Sialm, 2006.
"Investment Taxes and Equity Returns ,"
NBER Working Papers
12146, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Doran, James & Jiang, Danling & Peterson, David, 2008.
"Gambling in the New Year? The January Idiosyncratic Volatility Puzzle ,"
MPRA Paper
8165, University Library of Munich, Germany.
[Downloadable!]
Doran, James & Jiang, Danling & Peterson, David, 2007.
"Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle ,"
MPRA Paper
4995, University Library of Munich, Germany.
[Downloadable!]
Access and
download statistics Did you know? About 2000 working paper series are listed on RePEc .
This page was last updated on 2008-7-16.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .