Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/225078 
Year of Publication: 
2020
Series/Report no.: 
ZEW Discussion Papers No. 20-047
Publisher: 
ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung, Mannheim
Abstract: 
We exploit a large reform of capital-gains taxation in Germany combined with portfolio-level daily panel data to study the causal effect of taxes on individual stock-trading behavior and the disposition effect. We find substantial spikes in selling probabilities around an intertemporal tax discontinuity, and no such spikes after the abolishment of the discontinuity. Using difference-in-bunching methods, non-parametric regressions and effective tax rates, we quantify the tax effect and identify interesting patterns of heterogeneity. We further find evidence that the well-established disposition effect is strongly affected by the tax discontinuity through tax motivated selling of both gains and losses.
Subjects: 
Taxation
Capital-gains
Private investors
Trading Behavior
Disposition Effect
JEL: 
H20
C41
D14
G11
Document Type: 
Working Paper

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