How Do Taxes Affect the Trading Behavior of Private Investors? Evidence From Individual Portfolio Data
How Do Taxes Affect the Trading Behavior of Private Investors? Evidence From Individual Portfolio Data
复制标题
税收如何影响私人投资者的交易行为？
DOI：
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发表时间：
2020
期刊：
影响因子：
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通讯作者：
Johannes Voget
中科院分区：
文献类型：
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作者：
Florian Buhlmann;P. Dörrenberg;Benjamin Loos;Johannes Voget
税收如何影响私人股市投资者的投资行为？我们利用德国资本利得税的大规模改革，结合机密的投资组合层面的每日面板数据，研究资本利得税对个人股票交易行为的因果效应和处置效应。我们发现大量的尖峰销售概率在跨期税收的不连续性，并没有这样的尖峰后，废除的不连续性。使用不同的聚束方法和非参数回归，我们量化的税收效应，并确定有趣的模式的异质性。资产持有期的税收弹性为收益0.368，损失-0.435。由于理论上税收对交易行为的影响与公认的处置效应是相反的，因此我们进一步研究了税收与处置效应之间的相互作用。我们发现的证据表明，处置效果强烈影响的税收不连续性，通过税收动机出售的收益和损失。<br>
How do taxes affect the investment behavior of private stock-market investors? We exploit a large reform of capital-gains taxation in Germany combined with confidential portfolio-level daily panel data to study the causal effect of capital-gains taxes on individual stock-trading behavior and the disposition effect. We find substantial spikes in selling probabilities around an intertemporal tax discontinuity, and no such spikes after the abolishment of the discontinuity. Using difference-in-bunching methods and non-parametric regressions, we quantify the tax effect and identify interesting patterns of heterogeneity. Asset holding periods exhibit a tax elasticity of 0.368 for gains and -0.435 for losses. Because the theoretical tax effect on trading behavior runs in opposite direction to the well-established disposition effect, we further study the interaction between taxes and the disposition effect. We find evidence that the disposition effect is strongly affected by the tax discontinuity through tax motivated selling of both gains and losses.<br>
DOI：
10.1093/qje/qjr013
发表时间：
2011-05-01
期刊：
The quarterly journal of economics
影响因子：
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作者：
Chetty R;Friedman JN;Olsen T;Pistaferri L
通讯作者：
Pistaferri L
DOI：
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发表时间：
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期刊：
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影响因子：
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作者：
Cary Frydman;Antonio Rangel
通讯作者：
Cary Frydman;Antonio Rangel
资本收益的税收弹性和收入最大化率
DOI：
10.1257/aeri.20200535
发表时间：
2021
期刊：
American Economic Review: Insights
影响因子：
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作者：
Agersnap, Ole;Zidar, Owen
通讯作者：
Zidar, Owen