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The capital gain lock-in effect and equilibrium returns

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  • Klein, Peter
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  • Klein, Peter, 1999. "The capital gain lock-in effect and equilibrium returns," Journal of Public Economics, Elsevier, vol. 71(3), pages 355-378, March.
    • Handle: RePEc:eee:pubeco:v:71:y:1999:i:3:p:355-378
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    1. Kiefer, Donald W., 1990. "Lock-In Effect Within a Simple Model of Corporate Stock Trading," National Tax Journal, National Tax Association, vol. 43(1), pages 75-94, March.
    2. Dammon, Robert M & Spatt, Chester S, 1996. "The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs," The Review of Financial Studies, Society for Financial Studies, vol. 9(3), pages 921-952.
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    4. Landsman, Wayne R. & Shackelford, Douglas A., 1995. "The Lock-In Effect of Capital Gains Taxes: Evidence from the RJR Nabisco Leveraged Buyout," National Tax Journal, National Tax Association, vol. 48(2), pages 245-259, June.
    5. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1989. "Taxation of Capital Gains with Deferred Realization," National Tax Journal, National Tax Association, vol. 42(4), pages 475-85, December.
    6. Auerbach, Alan J, 1991. "Retrospective Capital Gains Taxation," American Economic Review, American Economic Association, vol. 81(1), pages 167-178, March.
    7. Daniel J. Kovenock & Michael Rothschild, 1987. "Notes on the Effect of Capital Gain Taxation on Non-Austrian Assets," Palgrave Macmillan Books, in: Assaf Razin & Efraim Sadka (ed.), Economic Policy in Theory and Practice, chapter 9, pages 309-342, Palgrave Macmillan.
    8. Balcer, Yves & Judd, Kenneth L, 1987. "Effects of Capital Gains Taxation on Life-Cycle Investment and Portfolio Management," Journal of Finance, American Finance Association, vol. 42(3), pages 743-758, July.
    9. Miller, Merton H & Scholes, Myron S, 1982. "Dividends and Taxes: Some Empirical Evidence," Journal of Political Economy, University of Chicago Press, vol. 90(6), pages 1118-1141, December.
    10. Constantinides, George M., 1984. "Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns," Journal of Financial Economics, Elsevier, vol. 13(1), pages 65-89, March.
    11. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    12. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1989. "Taxation of Capital Gains With Deferred Realization," National Tax Journal, National Tax Association;National Tax Journal, vol. 42(4), pages 475-485, December.
    13. Landsman, Wayne R. & Shackelford, Douglas A., 1995. "The Lock-in Effect of Capital Gains Taxes: Evidence From the RJR Nabisco Leveraged Buyout," National Tax Journal, National Tax Association;National Tax Journal, vol. 48(2), pages 245-259, June.
    14. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-636, May.
    15. Poterba, James M., 1987. "How burdensome are capital gains taxes?: Evidence from the United States," Journal of Public Economics, Elsevier, vol. 33(2), pages 157-172, July.
    16. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
    17. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
    18. Elton, Edwin J. & Gruber, Martin J., 1978. "Taxes and portfolio composition," Journal of Financial Economics, Elsevier, vol. 6(4), pages 399-410, December.
    19. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    20. Dybvig, Philip H & Ross, Stephen A, 1986. "Tax Clienteles and Asset Pricing," Journal of Finance, American Finance Association, vol. 41(3), pages 751-762, July.
    21. Roger H. Gordon & David F. Bradford, 1980. "Taxation and the Stock Market Valuation of Capital Gains and Dividends: Theory and Empirical Results," NBER Chapters, in: Econometric Studies in Public Finance, pages 109-136, National Bureau of Economic Research, Inc.
    22. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-393, April.
    23. Stiglitz, Joseph E., 1983. "Some aspects of the taxation of capital gains," Journal of Public Economics, Elsevier, vol. 21(2), pages 257-294, July.
    24. Brent, Averil & Morse, Dale & Stice, E. Kay, 1990. "Short Interest: Explanations and Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 273-289, June.
    25. Dammon, Robert M & Green, Richard C, 1987. "Tax Arbitrage and the Existence of Equilibrium Prices for Financial Assets," Journal of Finance, American Finance Association, vol. 42(5), pages 1143-1166, December.
    26. Cook, Eric W. & O'Hare, John F., 1992. "Capital Gains Redux: Why Holding Periods Matter," National Tax Journal, National Tax Association, vol. 45(1), pages 53-76, March.
    27. Kiefer, Donald W., 1990. "Lock-in Effect Within a Simple Model of Corporate Stock Trading," National Tax Journal, National Tax Association;National Tax Journal, vol. 43(1), pages 75-94, March.
    28. Cook, Eric W. & O'Hare, John F., 1992. "Capital Gains Redux: Why Holding Periods Matter," National Tax Journal, National Tax Association;National Tax Journal, vol. 45(1), pages 53-76, March.
    29. Assaf Razin & Efraim Sadka (ed.), 1987. "Economic Policy in Theory and Practice," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-349-18584-9, March.
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