Capital Gains Tax Overhang and Price Pressure
研究资本利得税如何阻碍部分投资者卖出股票，以及由此导致的延迟卖出对股价的影响。发现为税敏感客户服务的机构卖出决策受累积资本利得影响，且这种税收相关的少卖行为在盈利意外时影响股价，套利成本高时更严重。
ABSTRACT I study whether the capital gains tax is an impediment to selling by some investors and if so, to what degree associated delayed selling affects stock prices. I find that selling decisions by institutions serving tax‐sensitive clients are sensitive to cumulative capital gains, a pattern not observed for institutions with predominantly tax‐exempt clients. Moreover, tax‐related underselling impacts stock prices during large earnings surprises for stocks held primarily by tax‐sensitive investors. The corresponding price reactions are less negative (more positive) with higher cumulative capital gains. This price pressure pattern is more severe when arbitrage is more costly.