Tax-exempt investors and the asset allocation puzzle
成果类型：
Article
署名作者：
Mintz, J; Smart, M
署名单位：
University of Toronto; University of Toronto; University of Toronto; University of Toronto
刊物名称：
JOURNAL OF PUBLIC ECONOMICS
ISSN/ISSBN：
0047-2727
DOI：
10.1016/S0047-2727(00)00165-1
发表日期：
2002
页码：
195-215
关键词：
摘要：
Investors frequently hold equity in pensions and other tax-exempt savings plans, despite the prediction of the standard model that they hold only bonds. We provide a new explanation for this empirical puzzle based on differences between tax-exempt and taxable assets in the tax treatment of capital losses. We show how limits on refundability of losses on taxable equities leads to diversity of investors' preferences for corporate leverage on the basis of tax rates. In the simplest equilibrium of the model, tax-exempt savers hold risky, highly levered equities, while low-bracket taxable savers hold bonds and high-bracket taxpayers hold relatively safe, unlevered equities. We discuss the implications of tax-exempts for risk taking and agency costs within the firm. (C) 2002 Elsevier Science B.V. All rights reserved.
来源URL：