Capital Gains Tax Rules, Tax Loss Trading and Turn-of-The-Year Returns

  title={Capital Gains Tax Rules, Tax Loss Trading and Turn-of-The-Year Returns},
  author={J. Poterba and Scott J. Weisbenner},
  journal={Capital Markets: Asset Pricing & Valuation},
  • J. Poterba, Scott J. Weisbenner
  • Published 1998
  • Economics
  • Capital Markets: Asset Pricing & Valuation
  • This paper investigates the effect of specific features of the U.S. capital gains tax on turn-of-the-year stock returns. It focuses on two tax changes. The first, enacted in 1969, reduced the fraction of long-term losses that were deductible from Adjusted Gross Income from 100 percent to 50 percent. The second, part of the Tax Reform Act of 1976, raised the required holding period for long-term gains and losses from six months to one year. This paper describes how each of these tax changes… CONTINUE READING
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