Optimal Tax Timing with Asymmetric Long-Term/Short-Term Capital Gains Tax

• 成果类型: Article
• 署名作者: Dai, Min; Liu, Hong; Yang, Chen; Zhong, Yifei
• 署名单位: National University of Singapore; National University of Singapore; Washington University (WUSTL); University of Oxford
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv024
• 发表日期: 2015
• 页码: 2687
• 关键词: portfolio selection; transaction costs; optimal consumption; INVESTMENT; allocation

摘要

We develop an optimal tax-timing model that takes into account asymmetric long-term and short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to the existing literature, this model can help explain why many investors not only defer short-term capital losses to long term but also defer large long-term capital gains and losses. Because the benefit of tax deductibility of capital losses increases with the short-term tax rates, effective tax rates can decrease as short-term capital gains tax rates increase.