This study examines the effect of tax‐rate‐based holding period incentives on individual investors' earnings release period selling decisions using selling activity proxies computed from intra‐day transaction data. We find evidence that earnings release period selling activity, for a given level of past stock price appreciation (depreciation), is lower (higher) when the magnitude of the tax‐rate incentive to hold long term is larger. The results are, however, sensitive to the time period used to compute the past stock price change variable. Although we report results consistent with income tax considerations influencing individual investors' selling decisions, the results cannot be definitively attributed to holding period incentives.

This content is only available as a PDF.
You do not currently have access to this content.