Capital Gains Taxation and Stock Market Activity: Evidence from IPOs
利用1986年税改前长期与短期资本利得税率差异，研究首次公开募股股票在达到长期持有资格前后的交易量和回报变化，发现股票价格涨跌不同时，交易活跃度变化的时间点也不同。
Prior to the Tax Reform Act of 1986 (TRA '86), long‐term capital gains were taxed at a lower rate than short‐term gains, presenting investors with an opportunity to increase their after‐tax return by delaying the sale of appreciated assets until after they qualified for long‐term status and selling depreciated assets prior to long‐term qualification. Using a sample of Initial Public Offerings, I find that stocks that appreciated prior to long‐term qualification exhibit increased volume and decreased returns just after their qualification date, while stocks that depreciated prior to long‐term qualification exhibit these effects just prior to their qualification date.