Investments with exit flexibility require decisions regarding both the investmentand holding period. Because selling an investment often leads to taxable capital gains, whichcrucially depend on the duration of an investment, we investigate the impact of capital gainstaxation on exit timing under different tax systems. We observed that capital gains taxationdelays exit decisions but loses its decision relevance for very long holdings. Often the optimalexit time, which indicates the maximal present value of future cashflows, cannot be determinedanalytically. However, we identify the breakeven exit time that guarantees presentvalues exceeding those of an immediate sale. While, after-taxes, an immediate sale is oftenoptimal, long holding periods might also be attractive for investors depending on the degreeof income and corporate tax integration. A classic corporate tax system often indicatesholdings over more than 100 periods. By contrast, a shareholder relief system indicates theearliest breakeven exit time and thus the highest level of exit timing flexibility. Surprisingly,high retention rates are likely to accelerate sales under a classic corporate system. Additionally,the worst exit time, which should be avoided by investors, differs tremendously acrosstax systems. For an integrated tax system with full imputation, the worst time is reachedearlier than under partial or non-integrated systems. These results could help to predict investorsbehavior regarding changes in capital gains taxation and thus are of interest for bothinvestors and tax policymakers. Furthermore, the results emphasize the need to control forthe underlying tax system in cross-country empirical studies.