The capital gain lock-in effect and equilibrium returns

• 成果类型: Article
• 署名作者: Klein, P
• 署名单位: Simon Fraser University
• 刊物名称: JOURNAL OF PUBLIC ECONOMICS
• ISSN/ISSBN: 0047-2727
• DOI: 10.1016/S0047-2727(98)00080-2
• 发表日期: 1999
• 页码: 355-378
• 关键词: capital gains taxation; lock-in effect; general equilibrium; return reversal

摘要

This paper develops a general equilibrium model of asset pricing when capital gains an taxed upon realization. Under realistic assumptions, capital gain lock-in is shown to depress the pre-tax returns of securities with accrued capital gains. This result implies slowly dissipating security return reversal, and may help explain empirical findings in the financial economics literature. As in the existing public finance literature, this paper shows that one's own accrued capital gains and investment horizon affect optimal portfolio composition. This paper extends this result to a general equilibrium and shows that optimal portfolio composition depends on the average accrued capital gains and investment horizons of all other investors as well. (C) 1999 Elsevier Science S.A. All rights reserved. JEL classification: G11; G12.