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Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year
Kang, Johnny / Pekkala, Tapio / Polk, Christopher / Ribeiro, Ruy
asset pricing / equity marketsResource overview

Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year

Paper2011

by Kang, Johnny, Pekkala, Tapio, Polk, Christopher, Ribeiro, Ruy

Tags
asset pricingequity marketsinterest rates

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Understand this paper

Suggested foundations for asset pricing and factor research and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Empirical Asset Pricing and Factor Investing Explore Fixed Income and Interest-Rate Models

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