메뉴 건너뛰기




Volumn 61, Issue 3, 2006, Pages 1399-1431

Capital gains tax overhang and price pressure

Author keywords

[No Author keywords available]

Indexed keywords


EID: 33745714824     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2006.00876.x     Document Type: Article
Times cited : (80)

References (76)
  • 1
    • 84942235640 scopus 로고    scopus 로고
    • Uninformed trading and asset prices
    • University of California at Berkeley
    • Andrade, Sandro C., Charles Chang, and Mark S. Seasholes, 2004, Uninformed trading and asset prices, Working paper, University of California at Berkeley.
    • (2004) Working Paper
    • Andrade, S.C.1    Chang, C.2    Seasholes, M.S.3
  • 2
    • 0345016419 scopus 로고    scopus 로고
    • Shareholder taxes in acquisition premiums: The effect of capital gains taxation
    • Ayers, Benjamin C., Craig E. Lefanowicz, and John R. Robinson, 2003, Shareholder taxes in acquisition premiums: The effect of capital gains taxation, Journal of Finance 58, 2783-2801.
    • (2003) Journal of Finance , vol.58 , pp. 2783-2801
    • Ayers, B.C.1    Lefanowicz, C.E.2    Robinson, J.R.3
  • 3
    • 0001533544 scopus 로고
    • Shareholder heterogeneity: Evidence and implications
    • Bagwell, Laurie S., 1991a, Shareholder heterogeneity: Evidence and implications, American Economic Review 81, 218-221.
    • (1991) American Economic Review , vol.81 , pp. 218-221
    • Bagwell, L.S.1
  • 4
    • 0009126431 scopus 로고
    • Share repurchase and takeover deterrence
    • Bagwell, Laurie S., 1991b, Share repurchase and takeover deterrence, Rand Journal of Economics 22, 72-88.
    • (1991) Rand Journal of Economics , vol.22 , pp. 72-88
    • Bagwell, L.S.1
  • 5
    • 84977702782 scopus 로고
    • Dutch auction repurchases: An analysis of shareholder heterogeneity
    • Bagwell, Laurie S., 1992, Dutch auction repurchases: An analysis of shareholder heterogeneity, Journal of Finance 47, 71-106.
    • (1992) Journal of Finance , vol.47 , pp. 71-106
    • Bagwell, L.S.1
  • 6
    • 21344480348 scopus 로고
    • Baby boom, population aging, and capital markets
    • Bakshi, Gurdip S., and Zhiwu Chen, 1994, Baby boom, population aging, and capital markets, Journal of Business 67, 165-201.
    • (1994) Journal of Business , vol.67 , pp. 165-201
    • Bakshi, G.S.1    Chen, Z.2
  • 7
    • 0030170359 scopus 로고    scopus 로고
    • How naïve is the stock market's use of earnings information?
    • Ball, Ray, and Eli Bartov, 1996, How naïve is the stock market's use of earnings information? Journal of Accounting and Economics 21, 319-338.
    • (1996) Journal of Accounting and Economics , vol.21 , pp. 319-338
    • Ball, R.1    Bartov, E.2
  • 8
    • 0037497348 scopus 로고    scopus 로고
    • Trading is hazardous to your wealth: The common stock investment performance of individual investors
    • Barber, Brad, and Terence Odean, 2000, Trading is hazardous to your wealth: The common stock investment performance of individual investors, Journal of Finance 55, 773-806.
    • (2000) Journal of Finance , vol.55 , pp. 773-806
    • Barber, B.1    Odean, T.2
  • 9
    • 0142023271 scopus 로고    scopus 로고
    • Are individual investors tax savvy? Evidence from retail and discount brokerage accounts
    • Barber, Brad, and Terence Odean, 2004, Are individual investors tax savvy? Evidence from retail and discount brokerage accounts, Journal of Public Economics 88, 419-442.
    • (2004) Journal of Public Economics , vol.88 , pp. 419-442
    • Barber, B.1    Odean, T.2
  • 10
    • 0242626584 scopus 로고    scopus 로고
    • Greener pastures and the impact of dynamic institutional preferences
    • Bennett, James A., Richard W. Sias, and Laura T. Starks, 2003, Greener pastures and the impact of dynamic institutional preferences, Review of Financial Studies 16, 1203-1238.
    • (2003) Review of Financial Studies , vol.16 , pp. 1203-1238
    • Bennett, J.A.1    Sias, R.W.2    Starks, L.T.3
  • 11
  • 13
    • 4043089417 scopus 로고    scopus 로고
    • Hedge funds and the technology bubble
    • Brunnermeier, Markus, and Stefan Nagel, 2004, Hedge funds and the technology bubble, Journal of Finance 59, 2013-2040.
    • (2004) Journal of Finance , vol.59 , pp. 2013-2040
    • Brunnermeier, M.1    Nagel, S.2
  • 14
    • 0037634688 scopus 로고    scopus 로고
    • Capital gains and the people who realize them
    • Burman, Leonard E., and Peter D. Ricoy, 1997, Capital gains and the people who realize them, National Tax Journal 50, 427-451.
    • (1997) National Tax Journal , vol.50 , pp. 427-451
    • Burman, L.E.1    Ricoy, P.D.2
  • 15
    • 0142250324 scopus 로고    scopus 로고
    • Tax-induced trading of equity securities: Evidence from the ADR market
    • Callaghan, Sandra Renfro, and Christopher B. Barry, 2003, Tax-induced trading of equity securities: Evidence from the ADR market, Journal of Finance 58, 1583-1611.
    • (2003) Journal of Finance , vol.58 , pp. 1583-1611
    • Callaghan, S.R.1    Barry, C.B.2
  • 16
    • 0002624840 scopus 로고    scopus 로고
    • On persistence in mutual fund performance
    • Carhart, Mark M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.M.1
  • 17
    • 0041669316 scopus 로고    scopus 로고
    • Leaning for the tape: Evidence of gaming behavior in equity mutual funds
    • Carhart, Mark M., R. Kaniel, David K. Musto, and Adam V. Reed, 2002, Leaning for the tape: Evidence of gaming behavior in equity mutual funds, Journal of Finance 57, 661-693.
    • (2002) Journal of Finance , vol.57 , pp. 661-693
    • Carhart, M.M.1    Kaniel, R.2    Musto, D.K.3    Reed, A.V.4
  • 18
    • 33745707671 scopus 로고    scopus 로고
    • Market valuation of tax-timing options: Evidence from capital gains distributions
    • in press
    • Chay, J. B., Dosoung Choi, and Jeffrey Pontiff, 2005, Market valuation of tax-timing options: Evidence from capital gains distributions, Journal of Finance (in press).
    • (2005) Journal of Finance
    • Chay, J.B.1    Choi, D.2    Pontiff, J.3
  • 19
    • 0000218139 scopus 로고    scopus 로고
    • Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices
    • Chen, Joseph, Harrison Hong, and Jeremy C. Stein, 2001, Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices, Journal of Financial Economics 61, 345-381.
    • (2001) Journal of Financial Economics , vol.61 , pp. 345-381
    • Chen, J.1    Hong, H.2    Stein, J.C.3
  • 20
    • 74949097020 scopus 로고    scopus 로고
    • Who underreacts to cashflow news? Evidence from trading between individuals and institutions
    • Cohen, Randy B., Paul A. Gompers, and Tuomo Vuolteenaho, 2002, Who underreacts to cashflow news? Evidence from trading between individuals and institutions, Journal of Financial Economics 66, 409-462.
    • (2002) Journal of Financial Economics , vol.66 , pp. 409-462
    • Cohen, R.B.1    Gompers, P.A.2    Vuolteenaho, T.3
  • 21
    • 0000701590 scopus 로고
    • Capital market equilibrium with personal taxes
    • Constantinides, George, 1983, Capital market equilibrium with personal taxes, Econometrica 51, 611-636.
    • (1983) Econometrica , vol.51 , pp. 611-636
    • Constantinides, G.1
  • 22
    • 0000443421 scopus 로고
    • Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns
    • Constantinides, George M., 1984, Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns, Journal of Financial Economics 13, 65-89.
    • (1984) Journal of Financial Economics , vol.13 , pp. 65-89
    • Constantinides, G.M.1
  • 23
    • 0142188100 scopus 로고    scopus 로고
    • The determinants of underpricing for seasoned equity offers
    • Corwin, Shane A., 2003, The determinants of underpricing for seasoned equity offers, Journal of Finance 58, 2249-2279.
    • (2003) Journal of Finance , vol.58 , pp. 2249-2279
    • Corwin, S.A.1
  • 24
    • 79957613736 scopus 로고    scopus 로고
    • Asset fire sales in equity markets
    • Harvard Business School
    • Coval, Joshua, and Erik Stafford, 2004, Asset fire sales in equity markets, Working paper, Harvard Business School.
    • (2004) Working Paper
    • Coval, J.1    Stafford, E.2
  • 25
  • 26
    • 0035646557 scopus 로고    scopus 로고
    • Optimal consumption and investment with capital gains taxes
    • Dammon, Robert M., Chester S. Spatt, and Harold H. Zhang, 2001a, Optimal consumption and investment with capital gains taxes, Review of Financial Studies 14, 583-616.
    • (2001) Review of Financial Studies , vol.14 , pp. 583-616
    • Dammon, R.M.1    Spatt, C.S.2    Zhang, H.H.3
  • 27
    • 33644912712 scopus 로고    scopus 로고
    • Diversification and capital gains taxes with multiple risky assets
    • Carnegie Mellon University
    • Dammon, Robert M., Chester S. Spatt, and Harold H. Zhang, 2001b, Diversification and capital gains taxes with multiple risky assets, Working paper, Carnegie Mellon University.
    • (2001) Working Paper
    • Dammon, R.M.1    Spatt, C.S.2    Zhang, H.H.3
  • 28
    • 0039561990 scopus 로고    scopus 로고
    • Measuring mutual fund performance with characteristic-based benchmarks
    • Daniel, Kent, Mark Grinblatt, Sheridan Titman, and Russ Wermers, 1997, Measuring mutual fund performance with characteristic-based benchmarks, Journal of Finance 52, 1035-1058.
    • (1997) Journal of Finance , vol.52 , pp. 1035-1058
    • Daniel, K.1    Grinblatt, M.2    Titman, S.3    Wermers, R.4
  • 30
    • 0041898621 scopus 로고    scopus 로고
    • Tax externalities of equity mutual funds
    • Dickson, Joel M., John B. Shoven, and Clemens Sialm, 2000, Tax externalities of equity mutual funds, National Tax Journal 53, 607-628.
    • (2000) National Tax Journal , vol.53 , pp. 607-628
    • Dickson, J.M.1    Shoven, J.B.2    Sialm, C.3
  • 31
    • 84977737676 scopus 로고
    • The cross-section of expected stock returns
    • Fama, Eugene F., and Kenneth R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
    • (1992) Journal of Finance , vol.47 , pp. 427-465
    • Fama, E.F.1    French, K.R.2
  • 32
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stocks and bonds
    • Fama, Eugene F., and Kenneth R. French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.F.1    French, K.R.2
  • 33
    • 0036116031 scopus 로고    scopus 로고
    • Testing trade-off and pecking order predictions about dividends and debt
    • Fama, Eugene F., and Kenneth R. French, 2002, Testing trade-off and pecking order predictions about dividends and debt, Review of Financial Studies 15, 1-33.
    • (2002) Review of Financial Studies , vol.15 , pp. 1-33
    • Fama, E.F.1    French, K.R.2
  • 34
    • 0000928969 scopus 로고
    • Risk, return, and equilibrium: Empirical tests
    • Fama, Eugene F., and James D. MacBeth, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
    • (1973) Journal of Political Economy , vol.81 , pp. 607-636
    • Fama, E.F.1    MacBeth, J.D.2
  • 35
    • 0042469107 scopus 로고
    • The effects of taxation on the selling of common stock and the realization of capital gains
    • Feldstein, Martin S., Joel Slemrod, and Shlomo Yitzhaki, 1980, The effects of taxation on the selling of common stock and the realization of capital gains, Quarterly Journal of Economics 94, 777-791.
    • (1980) Quarterly Journal of Economics , vol.94 , pp. 777-791
    • Feldstein, M.S.1    Slemrod, J.2    Yitzhaki, S.3
  • 37
  • 38
  • 39
    • 0344436678 scopus 로고    scopus 로고
    • Taxes and corporate finance: A review
    • Graham, John R., 2003, Taxes and corporate finance: A review, Review of Financial Studies 16, 1075-1129.
    • (2003) Review of Financial Studies , vol.16 , pp. 1075-1129
    • Graham, J.R.1
  • 40
    • 0344100134 scopus 로고    scopus 로고
    • Do price discreteness and transaction costs affect stock returns? Comparing ex-dividend pricing before and after decimalization
    • Graham, John R., Roni Michaely, and Michael R. Roberts, 2003, Do price discreteness and transaction costs affect stock returns? Comparing ex-dividend pricing before and after decimalization, Journal of Finance 58, 2611-2635.
    • (2003) Journal of Finance , vol.58 , pp. 2611-2635
    • Graham, J.R.1    Michaely, R.2    Roberts, M.R.3
  • 42
    • 27244437891 scopus 로고    scopus 로고
    • Prospect theory, mental accounting, and momentum
    • Grinblatt, Mark, and Bing Han, 2005, Prospect theory, mental accounting, and momentum, Journal of Financial Economics 78, 311-339.
    • (2005) Journal of Financial Economics , vol.78 , pp. 311-339
    • Grinblatt, M.1    Han, B.2
  • 44
    • 1342286223 scopus 로고    scopus 로고
    • Predicting stock price movements from past returns: The role of consistency and tax-loss selling
    • Grinblatt, Mark, and Tobias J. Moskowitz, 2004, Predicting stock price movements from past returns: The role of consistency and tax-loss selling, Journal of Financial Economics 71, 541-579.
    • (2004) Journal of Financial Economics , vol.71 , pp. 541-579
    • Grinblatt, M.1    Moskowitz, T.J.2
  • 45
    • 84886231184 scopus 로고
    • Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures
    • Harris, Lawrence E., and Eitan Gurel, 1986, Price and volume effects associated with changes in the S&P 500 list: New evidence for the existence of price pressures, Journal of Finance 41, 815-829.
    • (1986) Journal of Finance , vol.41 , pp. 815-829
    • Harris, L.E.1    Gurel, E.2
  • 46
    • 0038176749 scopus 로고    scopus 로고
    • Differences of opinion, short-sales constraints, and market crashes
    • Hong, Harrison, and Jeremy C. Stein, 2003, Differences of opinion, short-sales constraints, and market crashes, Review of Financial Studies 16, 487-525.
    • (2003) Review of Financial Studies , vol.16 , pp. 487-525
    • Hong, H.1    Stein, J.C.2
  • 47
    • 0142157069 scopus 로고    scopus 로고
    • Does shareholder composition matter? Evidence from the market reaction to corporate earnings announcements
    • Hotchkiss, Edith, and Deon Strickland, 2003, Does shareholder composition matter? Evidence from the market reaction to corporate earnings announcements, Journal of Finance 58, 1469-1498.
    • (2003) Journal of Finance , vol.58 , pp. 1469-1498
    • Hotchkiss, E.1    Strickland, D.2
  • 49
    • 84942267684 scopus 로고    scopus 로고
    • Capital gains tax overhang and price pressure
    • Harvard University
    • Jin, Li, 2004, Capital gains tax overhang and price pressure, Working paper, Harvard University.
    • (2004) Working Paper
    • Jin, L.1
  • 50
    • 84911542404 scopus 로고
    • The holding period distinction of the capital gains tax
    • Kaplan, Steven, 1981, The holding period distinction of the capital gains tax, NBER Working Paper No. 762.
    • (1981) NBER Working Paper No. 762 , vol.762
    • Kaplan, S.1
  • 51
    • 0042203005 scopus 로고    scopus 로고
    • The capital gain lock-in effect and long-horizon return reversal
    • Klein, Peter, 2001, The capital gain lock-in effect and long-horizon return reversal, Journal of Financial Economics 59, 33-62.
    • (2001) Journal of Financial Economics , vol.59 , pp. 33-62
    • Klein, P.1
  • 52
    • 0038851670 scopus 로고    scopus 로고
    • Price pressure: Evidence from the "dartboard" column
    • Liang, Bing, 1999, Price pressure: Evidence from the " dartboard" column, Journal of Business 72, 119-134.
    • (1999) Journal of Business , vol.72 , pp. 119-134
    • Liang, B.1
  • 53
    • 0000177414 scopus 로고    scopus 로고
    • New evidence on stock price effects associated with changes in the S&P 500 index
    • Lynch, Anthony W., and Richard R. Mendenhall, 1997, New evidence on stock price effects associated with changes in the S&P 500 index, Journal, of Business 70, 351-383.
    • (1997) Journal, of Business , vol.70 , pp. 351-383
    • Lynch, A.W.1    Mendenhall, R.R.2
  • 56
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey, Whitney K., and Kenneth D. West, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica 55, 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 57
    • 33745735247 scopus 로고    scopus 로고
    • Limited arbitrage and short sales restrictions: Evidence from the options markets
    • Ofek, Eli, Matthew Richardson, and Robert F. Whitelaw, 2003, Limited arbitrage and short sales restrictions: Evidence from the options markets, NBER Working paper No. 9423.
    • (2003) NBER Working Paper No. 9423 , vol.9423
    • Ofek, E.1    Richardson, M.2    Whitelaw, R.F.3
  • 58
    • 0037376889 scopus 로고    scopus 로고
    • Voting with their feet: Institutional ownership changes around forced CEO turnover
    • Parrino, Robert, Richard Sias, and Laura Starks, 2003, Voting with their feet: Institutional ownership changes around forced CEO turnover, Journal of Financial Economics 68, 3-46.
    • (2003) Journal of Financial Economics , vol.68 , pp. 3-46
    • Parrino, R.1    Sias, R.2    Starks, L.3
  • 59
    • 26444524074 scopus 로고    scopus 로고
    • Large shareholders and dividends: Evidence from U.S. tax reforms
    • Columbia University
    • Perez-Gonzalez, Francisco, 2003, Large shareholders and dividends: Evidence from U.S. tax reforms, Working paper, Columbia University.
    • (2003) Working Paper
    • Perez-Gonzalez, F.1
  • 60
    • 0039021355 scopus 로고    scopus 로고
    • Costly arbitrage: Evidence from closed-end funds
    • Pontiff, Jeffrey, 1996, Costly arbitrage: Evidence from closed-end funds, Quarterly Journal of Economics 111, 1135-1151.
    • (1996) Quarterly Journal of Economics , vol.111 , pp. 1135-1151
    • Pontiff, J.1
  • 62
    • 38249034180 scopus 로고
    • How burdensome are capital gains taxes: Evidence from the United States
    • Poterba, James, 1987b, How burdensome are capital gains taxes: Evidence from the United States, Journal of Public Economics 33, 157-172.
    • (1987) Journal of Public Economics , vol.33 , pp. 157-172
    • Poterba, J.1
  • 63
    • 0012979724 scopus 로고    scopus 로고
    • Taxation and portfolio structure: Issues and implications
    • Poterba, James, 2001, Taxation and portfolio structure: Issues and implications, NBER Working paper No. 8223.
    • (2001) NBER Working Paper No. 8223 , vol.8223
    • Poterba, J.1
  • 64
    • 0040436658 scopus 로고    scopus 로고
    • Capital gains tax rules, tax-loss trading, and turn-of-the-year returns
    • Poterba, James, and Scott Weisbenner, 2001, Capital gains tax rules, tax-loss trading, and turn-of-the-year returns, Journal of Finance 56, 353-368.
    • (2001) Journal of Finance , vol.56 , pp. 353-368
    • Poterba, J.1    Weisbenner, S.2
  • 65
    • 0040689752 scopus 로고    scopus 로고
    • Capital gains taxation and stock market activity: Evidence from IPOs
    • Reese, William, 1998, Capital gains taxation and stock market activity: Evidence from IPOs, Journal of Finance 53, 1799-1820.
    • (1998) Journal of Finance , vol.53 , pp. 1799-1820
    • Reese, W.1
  • 69
    • 0000183976 scopus 로고
    • Do demand curves for stocks slope down?
    • Shleifer, Andrei, 1986, Do demand curves for stocks slope down? Journal of Finance 41, 579-590.
    • (1986) Journal of Finance , vol.41 , pp. 579-590
    • Shleifer, A.1
  • 70
  • 71
    • 0039647027 scopus 로고    scopus 로고
    • Institutions and individuals at the turn-of-the-year
    • Sias, Richard W., and Laura T. Starks, 1997, Institutions and individuals at the turn-of-the-year, Journal of Finance 52, 1543-1562.
    • (1997) Journal of Finance , vol.52 , pp. 1543-1562
    • Sias, R.W.1    Starks, L.T.2
  • 72
    • 0002385291 scopus 로고
    • Foreign equity investment restrictions, capital flight, and shareholder wealth maximization: Theory and evidence
    • Stulz, Rene M., and Walter Wasserfallen, 1995, Foreign equity investment restrictions, capital flight, and shareholder wealth maximization: Theory and evidence, Review of Financial Studies 8, 1019-1057.
    • (1995) Review of Financial Studies , vol.8 , pp. 1019-1057
    • Stulz, R.M.1    Wasserfallen, W.2
  • 73
    • 0001273817 scopus 로고
    • Aggregate mutual fund flows and securities returns
    • Warther, Vincent A., 1995, Aggregate mutual fund flows and securities returns, Journal of Financial Economics 39, 209-235.
    • (1995) Journal of Financial Economics , vol.39 , pp. 209-235
    • Warther, V.A.1
  • 74
    • 0000095552 scopus 로고
    • A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
    • White, Halbert, 1980, A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity, Econometrica 48, 817-838.
    • (1980) Econometrica , vol.48 , pp. 817-838
    • White, H.1
  • 75
    • 0037775381 scopus 로고    scopus 로고
    • Does arbitrage flatten demand curves for stocks?
    • Wurgler, Jeffrey, and Ekaterina Zhuravskaya, 2002, Does arbitrage flatten demand curves for stocks? Journal of Business 75, 583-608.
    • (2002) Journal of Business , vol.75 , pp. 583-608
    • Wurgler, J.1    Zhuravskaya, E.2
  • 76
    • 0000956516 scopus 로고    scopus 로고
    • Is money smart? A study of mutual fund investors' fund selection ability
    • Zheng, Lu, 1999, Is money smart? A study of mutual fund investors' fund selection ability, Journal of Finance 54, 901-933.
    • (1999) Journal of Finance , vol.54 , pp. 901-933
    • Zheng, L.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.