How Do Taxes Affect the Trading Behavior of Private Investors? Evidence from Individual Portfolio Data
Management Science · 2026 · Florian Buhlmann、Philipp Doerrenberg、Benjamin Loos、Johannes Voget
中文摘要
德国一项跨期税收不连续性的取消为我们提供了一个自然实验, 用以研究税收对个人股票交易行为及处置效应的因果影响。利用个人投资者交易数据, 并结合非参数回归与聚束 (bunching) 方法, 我们发现税收不连续性的存在会促使投资者调整其持有期, 从而使其有效税率降低 11.3%。我们还发现, 在不连续点前后的数日内, 税收效应压倒处置效应, 并且在不连续点之前的六个月内能够抑制处置效应 (抑制幅度约 20%)。我们讨论了本文结果对股票被交易企业的影响及政策含义。本文由 Camelia Kuhnen (金融) 接受。资助: F. Buhlmann 感谢 MannheimTaxation ScienceCampus 提供的资助。补充材料: 在线附录与数据文件可从 https://doi.org/10.1287/mnsc.2023.04213 获取。
Abstract
The removal of an intertemporal tax discontinuity in Germany provides us with a natural experiment to study the causal effect of taxes on individual stock-trading behavior and the disposition effect. Using individual investor transactions data combined with nonparametric regressions and bunching methods, we find that the presence of the tax discontinuity induces investors to adjust their holding periods, which reduces their effective tax rate by 11.3%. We also find that tax effects dominate the disposition effect in the days around the discontinuity and can inhibit it (by about 20%) during the six months preceding the discontinuity. We discuss the consequences of our results for the firms whose stocks are traded and policy implications. This paper was accepted by Camelia Kuhnen, finance. Funding: F. Buhlmann gratefully acknowledges financial support by MannheimTaxation ScienceCampus. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.04213 .