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Wednesday, July 29, 2020 | History

3 edition of Tax induced trading and the turn-of-the-year effect found in the catalog.

Tax induced trading and the turn-of-the-year effect

Robert White

Tax induced trading and the turn-of-the-year effect

an intraday study

by Robert White

  • 290 Want to read
  • 33 Currently reading

Published by Western Business School, University of Western Ontario in London, Canada .
Written in English


Edition Notes

Statementby Robert White & Mark Griffiths.
SeriesWorking paper series / University of Western Ontario -- No.92-06, Working paper series -- No.92-06.
ContributionsGriffiths, Mark., University of Western Ontario. Business School.
ID Numbers
Open LibraryOL20930235M
ISBN 100771414048
OCLC/WorldCa26856150

Taxation - Taxation - Shifting and incidence: The incidence of a tax rests on the person(s) whose real net income is reduced by the tax. It is fundamental that the real burden of taxation does not necessarily rest upon the person who is legally responsible for payment of the tax. General sales taxes are paid by business firms, but most of the cost of the tax is actually passed on to those who. Tax ramifications of establishing your trading as a business. We’ve discussed how individual investors can only claim up to $3, in capital losses per year and minimal expenses (if any). Trading businesses can usually write off greater losses, claim broader expenses .

One tax is a broadly-based production tax, and the other a broadly-based consumption tax, and moving between these in a simple model is from one non-distorting tax to an other. The change in tax treatment can be simply accommodated by an exchange rate change, or adjustment in the price levels across the two trading economies leaving real trade. Use Green’s Trader Tax Guide to receive every trader tax break you’re entitled to on your tax returns. Our guide covers the Tax Cuts and Jobs Act and the CARES Act’s impact on investors, traders, and investment managers. Learn various smart moves to make in

We examine whether taxes affect stock sales by mutual funds. For certain funds, the expected amount of a given stock sold in a given quarter is 62% greater when liquidation would trigger a capital loss equal to 1% of the value of the portfolio than when a like-size gain would be triggered, a greater effect than is associated with either contemporaneous excess stock returns of 50% or unexpected. Capital Gains and Losses. Futures contracts do not pay dividends or interest, so the only source of income from them is a price change. The Internal Revenue Service uses a special 60/40 long-term.


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Tax induced trading and the turn-of-the-year effect by Robert White Download PDF EPUB FB2

If tax-related trading was the only factor causing the January effect, then there should be no excess returns at the turn of the year in the UK since their tax year-end is in April.

We found that there was a January effect in the UK that influenced all companies' returns in the by: Add tags for "Tax induced trading: the effect of the Tax Reform Act on stock market activity". Be the first. This study tests the tax-induced trading hypothesis as an explanation of the turn-of-the-year anomaly using Canadian and U.S.

intraday data. Since the Cana-dian tax year-end precedes the calendar year-end by five business days, tax effects may be isolated. Downloadable (with restrictions). This study tests the tax-induced trading hypothesis as an explanation of the turn-of-the-year anomaly using Canadian and U.S.

intraday data. Since the Canadian tax year-end precedes the calendar year-end by five business days, tax effects may be isolated. The authors find the anomaly is related to the degree of seller- and buyer-initiated trading and depends. Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns.

James M. Poterba. Search for more papers by this author. Scott J. Weisbenner. but they can affect the incentives for year‐end tax–induced trading by individual investors.

Empirical evidence for the to period suggests that when the tax law Cited by:   Next I examine the relation between turn-of-the-year returns of small cap stocks and fourth quarter realized losses in these stocks.

2 I measure the turn-of-the-year effect as a stock's average return over the first three, five, or ten trading days of January minus its average return over the last three, five, or ten trading days of the. Fig. 1 illustrates effects of capital gains tax rate decrease (Fig.

1.A.1 and A.2) and increase (Fig. 1.B.1 and B.2) on trading activity (measured by trading volume) from the supply (lock-in) and demand (capitalization) analysis represents a time period of the tax rate change being signed into law but not yet in effect.

9 The initial capital gains tax rate isτ 0 C. Our results affirm previous findings concerning tax induced trading at year end. However, forwe find that the anticipated tax code changes had a powerful effect on trading behavior.

Compared to previous years, relative trading volume was considerably higher in December of for long term winners and lower for long term losers. • The effect of tax-loss-selling by institutional investors on turn-of-the-year returns is economically significant.

• The results suggest that the effect of window-dressing on turn-of-the-year returns is not as large as prior literature suggests. Lakonishok and T. Vermaelen, Tax-induced trading around ex-dividend days Table 3 Average daily abnormal volume (A V), from six days after the ex-date until thirteen days after the ex-date, for the total period and two subperiods (t-values in parentheses), using the event time method.a Total period First subperiod Second subperiod AVl.

This study tests the tax-induced trading hypothesis as an explanation of the turn-of-the-year anomaly using Canadian and U.S.

intraday data. Since the Canadian tax year-end precedes the calendar year-end by five business days, tax effects may be isolated. Lakonishok, J and T Vermaelen [] Tax-induced trading around ex-dividend days. Journal of Financial Econom – Crossref, ISI, Google Scholar; Lamdin, DJ [] Shareholder taxation and aggregate dividend payout: Evidence from the tax reform act of Review of Quantitative Finance and Accounting 3, –   Induced Taxes: Within the context of macroeconomics and fiscal policy, a type of tax that changes when an economy's real gross domestic product (GDP) changes.

The relationship between induced. Turn-of-the-Year Effect: The turn-of-the-year effect describes a pattern of increased trading volume and higher stock prices in the last week of December and the first two weeks of January.

"Tax-loss trading and wash sales," Journal of Financial Economics, Elsevier, vol. 71(1), pagesJanuary. Mark Grinblatt & Matti Keloharju, " Tax-Loss Trading and Wash Sales," Yale School of Management Working Papers ysm, Yale School of Management, revised 01 Nov If you fall into the % tax bracket, it will be 15%, and it will be 20% if you fall into the % tax bracket.

The 40% of the gains are considered to be short-term and will be taxed at your usual income tax rate. So, on the whole, forex trading tax implications in the US will be the same as share trading taxes, and most other instruments.

If on December 31 (last day of the tax year) the fair market value of this contract is $26, Bob will recognize a $ capital gain on his tax. VAT may act to segment firm-to-firm trade in developing economies into VAT-paying and non-VAT-paying networks.

This column presents evidence of this from India and argues that the higher the rate of VAT, the greater the effect. This segmentation decreases the output of non-VAT-paying firms, whose sourcing choices have been distorted by VAT, by between 7% and 10%.

Any debate about global warming leads inevitably to proposals for a carbon tax as one of the most powerful tools in the arsenal to combat it. In Januarya bipartisan group in the US House of Representatives introduced H.R. the Energy Innovation and Carbon Dividend Act ofwhich would pave the way for a carbon tax on fuels that emit greenhouse gases into the atmosphere.

“Tax Induced Trading and the Turn-of-the-Year Anomaly: An Intraday Study.” Journal of Finance 48 (), Google Scholar. Griffiths, Mark D., and Drew B. Winters.

“The Effect of Federal Reserve Settlement Rules on the Equilibrium Level of Overnight Repo Rates.” The Turn-of-the-Year Effect and the Return Premia of Small Firms. Some fundamental economics is relevant here: > The effect of [a VAT or sales] tax on the supply-demand equilibrium is to shift the quantity toward a point where the before-tax demand minus the before-tax supply is the amount of the tax.

A tax incr.Abstract. This chapter discusses, including mathematical descriptions, trading strategies based on tax arbitrage, including municipal bond tax arbitrage, which amounts to borrowing money and buying tax-exempt municipal bonds, which is attractive to companies in jurisdictions where tax rules allow them to buy tax-exempt municipal bonds and deduct interest expenses from their taxable income.Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns James M.

Poterba, Scott J. Weisbenner. NBER Working Paper No. Issued in June NBER Program(s):Asset Pricing, Public Economics This paper investigates the effect of specific features of the U.S.

capital gains tax on turn-of-the-year stock returns.