The pioneering work of Vickrey (1939), (1944) on the income-tax frequency has not inspired a lot of further studies. We propose an investigation of this issue both from a theoretical and empirical viewpoint within an annual framework. We first show that increasing the income-tax frequency (from an annual tax basis to a monthly tax basis) is Pareto-improving for any convex tax scheme. This result is obtained for the same tax revenue. Welfare gains are all the larger as the infra-annual volatility of income is large and the propensity to save is low, implying that the benefits should be larger for the bottom of the income distribution. We submit an empirical illustration using French administrative data and simulations of the current tax-benefit system. Despite that this system is not convex over the whole income domain, we show that increasing the tax frequency can lead to substantial social welfare gains.