文献详情
Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes
文献类型：期刊
通讯作者：Le, YT (reprint author), Nanchang Univ, Sch Econ & Management, Nanchang 330031, Jiangxi, Peoples R China.
期刊名称：MANAGEMENT SCIENCE影响因子和分区
年：2020
卷：66
期：2
页码：823-843
ISSN：0025-1909
关键词：portfolio choice; return predictability; capital gains tax
所属部门：财政金融学院
摘要：In asset return predictability, realized returns and future expected returns tend to move in opposite directions. This generates a tension between tax- and market-timing incentives. In this study, a portfolio choice problem in the presence of both return predictability and capital gains tax is examined. We characterize various features of the optimal trading strategy, and demonstrate that the optimal strategy helps mitigate the tension between market- and tax-timing. The calibrated model suggest ...More
In asset return predictability, realized returns and future expected returns tend to move in opposite directions. This generates a tension between tax- and market-timing incentives. In this study, a portfolio choice problem in the presence of both return predictability and capital gains tax is examined. We characterize various features of the optimal trading strategy, and demonstrate that the optimal strategy helps mitigate the tension between market- and tax-timing. The calibrated model suggests that return predictability can significantly increase both the utility loss due to capital gains tax and the value of deferring capital gains realization. Overall, our results suggest that the nature of the asset return process can have important implications for the welfare effects of capital gains tax. ...Hide

DOI：10.1287/mnsc.2018.3184
百度学术：Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes
语言：外文
人气指数：1
浏览次数：1
基金：National Natural Science Foundation of ChinaNational Natural Science Foundation of China [71701086]; Hong Kong PhD Fellowship Scheme [PF13-13593]; Renmin University of China [581517006421]
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