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The Tax Day Trade: An Efficient Market Anomaly

5 Pages Posted: 3 Feb 2017 Last revised: 6 Mar 2017

See all articles by Steven Moffitt

Steven Moffitt

Stuart School of Business, Illinois Institute of Technology

Date Written: February 2, 2017

Abstract

We present the "Tax Day Trade," a one day trade that gains an average of 1/2%. The trade was developed using the "Strategic Analysis of Markets Method (SAMM)" described in the two volume series "The Strategic Analysis of Financial Markets" (forthcoming from World Scientific). Detective work reveals the dynamics behind its success, and behavioral analysis indicates that its impact won't diminish without significant countervailing arbitrage. This is a clear-cut efficient markets "anomaly'' whose origins are known, and which has not been arbitraged away.

Keywords: trading, market efficiency, anomaly, arbitrage violation, tax policy

JEL Classification: G14, G02, G18

Suggested Citation

Moffitt, Steven, The Tax Day Trade: An Efficient Market Anomaly (February 2, 2017). Available at SSRN: https://ssrn.com/abstract=2910752 or http://dx.doi.org/10.2139/ssrn.2910752

Steven Moffitt (Contact Author)

Stuart School of Business, Illinois Institute of Technology ( email )

10 West 35th Street, 18th Floor
Chicago, IL 60616
United States
630-660-0400 (Phone)

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