Tax-motivated trading by individual investors
By: Zoran Ivkovich, James Poterba, Scott Weisbenner.
Contributors: Poterba, James M.; Weisbenner, Scott J.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10275; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10275.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Tax incentives.; Capital gains.
Description: "We use data on the stock trades of a large number of individual investors to study how tax incentives affect the realization of capital gains and losses.  We compare investors' realizations in their taxable and tax-deferred accounts, which allows us to identify tax-motivated trading.  We reach three conclusions.  First, we find a strong lock-in effect for capital gains in taxable accounts relative to tax-deferred accounts.  The capital gains lock-in effect is stronger for large than for small transactions, and it intensifies at longer holding periods.  Second, we find tax-loss selling throughout the calendar year, though it is most pronounced in December, particularly if the investor has realized capital gains elsewhere in the portfolio during the year.  Third, we observe substantial heterogeneity in individual investors' propensity to trade.  Controlling for this heterogeneity, however, does not alter the relationship between a stock's past performance and the realization decision"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
Title from PDF file as viewed on 1/24/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.