The Tax Day Trade: An Efficient Market Anomaly
5 Pages Posted: 3 Feb 2017 Last revised: 6 Mar 2017
Date Written: February 2, 2017
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: Suggested Citation