  We investigate the impact of capital gains taxes on optimal investment
decisions in a quite simple model. Namely, we consider a risk neutral investor
who owns one risky stock from which she assumes that it has a lower expected
return than the riskless bank account and determine the optimal stopping time
at which she sells the stock to invest the proceeds in the bank account up to
the maturity date. In the case of linear taxes and a positive riskless interest
rate, the problem is nontrivial because at the selling time the investor has to
realize book profits which triggers tax payments. We derive a boundary that is
continuous and increasing in time and decreasing in the volatility of the stock
such that the investor sells the stock at the first time its price is smaller
or equal to this boundary.
