The problem with what JC Penny did is that they stopped having sales, but the regular prices were higher than the the old sale prices. For this to have worked, they would have had to offer the "sale" prices all of the time. As it was, I could see a pair of socks for $15 at JC Penny and then get a comparable item from Macy's on sale for $10.

The "we don't do sales" model can work if your everyday prices are competitive. (This is more or less Walmart's approach and the do well.) However, the logistics must not have been there for JC Penny to be competitive on every single item every day and still be profitable.