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- W2912272596 abstract "I predict that tax-sensitive investors’ reluctance to realize capital gains in a particular stock reduces noise trading in the stock and thus decreases the stock’s liquidity. After controlling for information asymmetry, I find that over the period 1988-2008, a one standard deviation increase in the unrealized gains of institutional investors who are unambiguously tax-sensitive results in a 0.44 percent increase in Ahimud’s measure of illiquidity, a 1.8 percent increase in the quoted bid-ask spread, and a 1.2 percent increase in the effective bid-ask spread for the mean firm each quarter. I find that a hedge portfolio that goes long in firms with a relatively large difference between the unrealized gains of tax-sensitive investors and those of institutional investors that are unambiguously tax-insensitive and short in firms with a relatively small difference earns on average a positive and significant risk-adjusted return equal to 0.016 percent per quarter and 0.049 percent per year." @default.
- W2912272596 created "2019-02-21" @default.
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- W2912272596 date "2011-01-01" @default.
- W2912272596 modified "2023-09-25" @default.
- W2912272596 title "Capital Gains Taxes and Liquidity" @default.
- W2912272596 doi "https://doi.org/10.2139/ssrn.1762132" @default.
- W2912272596 hasPublicationYear "2011" @default.
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