Investment taxation and portfolio performance

• 成果类型: Article
• 署名作者: Bergstresser, Daniel; Pontiff, Jeffrey
• 署名单位: Brandeis University; Boston College
• 刊物名称: JOURNAL OF PUBLIC ECONOMICS
• ISSN/ISSBN: 0047-2727
• DOI: 10.1016/j.jpubeco.2012.04.005
• 发表日期: 2013
• 页码: 245-257
• 关键词: investments; Capital gains; taxation; portfolio choice

摘要

We use the federal tax codes from 1926 through 2009 to construct the after-tax returns that individual investors, corporations, and broker-dealers would have generated on a set of benchmark portfolios. Portfolio strategies differ in the pace of capital gains realizations. This creates important heterogeneity in effective investment taxation beyond that implied by dividend yields. Tax burdens reduce the return premium that value portfolios earn over growth portfolios and the premium of small market capitalization portfolios over large market capitalization portfolios. Tax burdens exacerbate the equity premium puzzle, although they help explain mixed empirical results about the dividend preferences of high income and corporate investors. (C) 2012 Elsevier B.V. All rights reserved.