Do Holding Period Tax Incentives Affect Earnings Release Period Selling Activity of Individual Investors?
利用日内交易数据，研究了基于税率的持有期激励对个人投资者在盈余发布期间卖出决策的影响，发现持有期激励越大，卖出活动对过去股价涨跌的反应越弱，但结果对计算股价变动的时间段敏感。
This study examines the effect of tax-rate-based holding period incentives on individual investors' earnings release period selling decisions using selling activity proxies computed from intra-day transaction data. We find evidence that earnings release period selling activity, for a given level of past stock price appreciation (depreciation), is lower (higher) when the magnitude of the tax-rate incentive to hold long term is larger. The results are, however, sensitive to the time period used to compute the past stock price change variable. Although we report results consistent with income tax considerations influencing individual investors' selling decisions, the results cannot be definitively attributed to holding period incentives.