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The capital gain lock-in effect with short sales constraints

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  • Klein, Peter

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  • Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.
  • Handle: RePEc:eee:jbfina:v:22:y:1998:i:12:p:1533-1558
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    1. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. " Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
    3. Dammon, Robert M & Green, Richard C, 1987. " Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets," Journal of Finance, American Finance Association, vol. 42(5), pages 1143-1166, December.
    4. Sharpe, William F, 1991. " Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
    5. Constantinides, George M., 1984. "Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns," Journal of Financial Economics, Elsevier, vol. 13(1), pages 65-89, March.
    6. 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, Society for Financial Studies, vol. 9(3), pages 921-952.
    7. George M. CONSTANTINIDES & Jonathan E. INGERSOLL Jr., 2005. "Optimal Bond Trading With Personal Taxes," World Scientific Book Chapters,in: Theory Of Valuation, chapter 6, pages 165-206 World Scientific Publishing Co. Pte. Ltd..
    8. Kwan, Clarence C. Y., 1997. "Portfolio selection under institutional procedures for short selling: Normative and market-equilibrium considerations," Journal of Banking & Finance, Elsevier, vol. 21(3), pages 369-391, March.
    9. Laurence Booth, 1987. "The Dividend Tax Credit and Canadian Ownership Objectives," Canadian Journal of Economics, Canadian Economics Association, vol. 20(2), pages 321-339, May.
    10. Trauring, Mitchell, 1979. "A Capital Asset Pricing Model with Investors Taxes and Three Categories of Investment Income," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(03), pages 537-545, September.
    11. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    12. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-393, April.
    13. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
    14. Stiglitz, Joseph E., 1983. "Some aspects of the taxation of capital gains," Journal of Public Economics, Elsevier, vol. 21(2), pages 257-294, July.
    15. Jordan, Bradford D. & Jordan, Susan D., 1991. "Tax options and the pricing of treasury bond triplets : Theory and evidence," Journal of Financial Economics, Elsevier, vol. 30(1), pages 135-164, November.
    16. Grossman, Sanford J. & Vila, Jean-Luc, 1992. "Optimal Dynamic Trading with Leverage Constraints," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(02), pages 151-168, June.
    17. Brent, Averil & Morse, Dale & Stice, E. Kay, 1990. "Short Interest: Explanations and Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(02), pages 273-289, June.
    18. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-636, May.
    19. 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.
    20. Milne, Frank & Smith, Clifford W., 1980. "Capital Asset Pricing with Proportional Transaction Costs," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(02), pages 253-266, June.
    21. Kwan, Clarence C. Y., 1995. "Optimal portfolio selection under institutional procedures for short selling," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 871-889, August.
    22. Ehrhardt, Michael C. & Jordan, James V. & Prisman, Eliezer Z., 1995. "Tests for tax-clientele and tax-option effects in U.S. treasury bonds," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1055-1072, September.
    23. repec:hrv:faseco:30721347 is not listed on IDEAS
    24. Prisman, Eliezer Z. & Roberts, Gordon S. & Tian, Yisong, 1996. "Optimal bond trading and the tax-timing option in Canada," Journal of Banking & Finance, Elsevier, vol. 20(8), pages 1351-1363, September.
    25. Elton, Edwin J. & Gruber, Martin J., 1978. "Taxes and portfolio composition," Journal of Financial Economics, Elsevier, vol. 6(4), pages 399-410, December.
    26. Protopapadakis, Aris, 1983. "Some Indirect Evidence on Effective Capital Gains Tax Rates," The Journal of Business, University of Chicago Press, vol. 56(2), pages 127-138, April.
    27. Alexander, Gordon J, 1993. " Short Selling and Efficient Sets," Journal of Finance, American Finance Association, vol. 48(4), pages 1497-1506, September.
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    Cited by:

    1. Eichfelder, Sebastian & Lau, Mona, 2015. "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," arqus Discussion Papers in Quantitative Tax Research 195, arqus - Arbeitskreis Quantitative Steuerlehre.
    2. Chyz, James A. & Li, Oliver Zhen, 2012. "Do Tax Sensitive Investors Liquidate Appreciated Shares After a Capital Gains Tax Rate Reduction?," National Tax Journal, National Tax Association;National Tax Journal, vol. 65(3), pages 595-627, September.
    3. Eichfelder, Sebastian & Lau, Mona, 2015. "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," Discussion Papers 2015/33, Free University Berlin, School of Business & Economics.
    4. Sebastian Eichfelder & Mona Lau, 2015. "Capitalization of capital gains taxes: (In)attention and turn-of-the-year returns," FEMM Working Papers 150019, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
    5. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.
    6. Klein, Peter, 2001. "The capital gain lock-in effect and long-horizon return reversal," Journal of Financial Economics, Elsevier, vol. 59(1), pages 33-62, January.
    7. Viard, Alan D., 2000. "Dynamic asset pricing effects and incidence of realization-based capital gains taxes," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 465-488, October.

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