The optimal trading and pricing of securities with asymmetric capital gains taxes and transaction costs

Review of Financial Studies

Volumn 9, Issue 3, 1996, Pages 921-952

  Dammon, Robert M ^a   Spatt, Chester S ^a  

^a CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030493870     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/9.3.921     Document Type: Article

References (10)

1. Bossaerts, P., and R. Dammon, 1994, "Tax-Induced Intertemporal Restrictions on Security Returns," Journal of Finance, 49, 1347-1371.
2. Constantinides, G., 1983, "Capital Market Equilibrium with Personal Tax," Econometrica, 51, 611-636.
3. Constantinides, G, 1984, "Optimal Stock Trading With Personal Taxes: Implications for Prices and the Abnormal January Returns," Journal of Financial Economics, 13, 65-89.
4. Dammon, R., K. Dunn, and C. Spatt, 1989, "A Reexamination of the Value of Tax Options," Review of Financial Studies, 2, 341-372.
5. Dammon, R., and C. Spatt, 1995, "Do Heterogeneous Basis Values Affect Equilibrium Asset Prices?," unpublished manuscript, Carnegie Mellon University.
6. Dunn, K., and C. Spatt, 1986, "The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Policy and the Pricing of Debt Contracts," unpublished manuscript, Carnegie Mellon University.
7. Poterba, J., 1987, "How Burdensome are Capital Gains Taxes? Evidence From the United States," Journal of Public Economics, 33, 157-172.
8. Schultz, P., 1988, Tax Loss Selling in Common Stocks, unpublished Ph.D. dissertation, University of Chicago.
9. Seyhun, H. N., and D. Skinner, 1994, "How do Taxes Affect Investors' Stock Market Realizations? Evidence From Tax-Return Panel Data," Journal of Business, 67, 231-262.
10. Williams, J., 1985, "Trading and Valuing Depreciable Assets," Journal of Financial Economics, 14, 283-308.