Capital Gains Taxation and Equity Returns: The Case of Mutual Savings Banks
研究了互助储蓄银行改制上市后，原始股东因资本利得税处理变化而产生的交易行为，发现投资者会推迟实现资本利得，但税收动机交易未显著影响股价。
Abstract: IPOs of demutualized savings banks create tax sensitive shareholders with identical acquisition dates and tax bases. We investigate security volume and returns surrounding the one‐year anniversary of the IPOs when unrealized capital gains and losses for original shareholders become long‐term capital gains for taxation purposes. Trading volume levels confirmed our hypothesis that investors defer the recognition of capital gains, but we could not confirm that tax motivated trading affected security prices. The results have implications beyond taxation and US markets. For non‐institutional investors, presumed to exhibit non‐rationality, tax motivated trading exists and does not have a significant effect on prices.