Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns☆
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This paper is a substantially revised version of my 1980 paper titled ‘Short Term versus Long Term Capital Gains and Losses’. I wish to thank my colleagues at the University of Chicago and workshop participants at the 1982 NBER Summer Institute in Boston, the University of Pennsylvania, Cornell University, Northwestern University, Columbia University, the University of Texas at Dallas, and Harvard University. In particular, I wish to thank Eugene Fama, Philippe Jorion, Merton Miller, Richard Roll, Allan Kleidon, the referee, and the editor, René Stulz. Aid from the Center for Research in Security Prices of the University of Chicago is gratefully acknowledged.