Even if considering only the bid-ask spreads, the positive returns transform to losses of approximately 0.5% per month, and none of the strategies remained significantly profitable. The further consideration of the commissions only make the situation worse. The precise post-cost profitability of the...
Before 1998, many investors sold short stocks that they owned —selling short against the box— as a means to protect capital gains, or to convert a short-term gain into a long-term gain, which has a lower tax rate. However, this method has been rendered ineffective by theTaxpayer Relief...