Tax-Induced Trading around the Taxpayer Relief Act of 1997
研究了1997年纳税人减税法案（资本利得税率从28%降至20%）通过前后投资者的交易行为，发现个人投资者在公告日增加股票需求（税收资本化效应），在生效日增加有未实现收益股票的供给（锁定效应），且需求侧效应强于供给侧效应。
ABSTRACT: We examine investor trading around the passage of the Taxpayer Relief Act of 1997 (TRA97), which reduced the capital gains tax rate from 28 percent to 20 percent. We provide evidence that individual investors increase their demand for equity shares on the announcement day of TRA97, consistent with the capitalization of capital gains taxes. On the effective day of TRA97, we find that individual investors increase the supply of equity shares with accrued gains, consistent with the lock-in effect of capital gains taxes. Regression results suggest that the demand-side effect associated with tax capitalization is a more powerful effect on abnormal trading than the supply-side effect associated with lock-in for the median stock trading around TRA97. Overall, our results suggest that capital gains taxes influence both the demand and supply for equity by tax-sensitive investors and that the effect on demand is more pronounced than the effect on supply.