Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns
研究个人投资者面临的资本利得税规则变化如何影响年末税收驱动交易，发现当税法鼓励早期实现损失时，年初损失与年末收益的相关性减弱，表明税收损失交易对年末收益模式有贡献。
ABSTRACT Changes in the capital gains tax rules facing individual investors do not affect the incentives for “window dressing” by institutional investors, but they can affect the incentives for year‐end tax–induced trading by individual investors. Empirical evidence for the 1963 to 1996 period suggests that when the tax law encouraged taxable investors who accrued losses early in the year to realize their losses before year‐end, the correlation between early year losses and turn‐of‐the‐year returns was weaker than when the law did not provide such an early realization incentive. These findings suggest that tax‐loss trading contributes to turn‐of‐the‐year return patterns.