Heuristic portfolio trading rules with capital gain taxes

• 成果类型: Article
• 署名作者: Fischer, Marcel; Gallmeyer, Michael F.
• 署名单位: Copenhagen Business School; University of Konstanz; University of Virginia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.01.024
• 发表日期: 2016
• 页码: 611-625
• 关键词: portfolio choice; Capital gain taxation; Limited use of capital losses; Heuristic trading rules

摘要

We study the out-of-sample performance of portfolio trading strategies used when an investor faces capital gain taxation and proportional transaction costs. Overlaying simple tax trading heuristics on trading strategies improves out-of-sample performance. For medium to large transaction costs, no trading strategy can outperform a 1/N trading strategy augmented with a tax heuristic, not even the most tax and transaction cost-efficient buy-and hold strategy. Overall, the best strategy is 1/N augmented with a heuristic that allows for a fixed deviation in absolute portfolio weights. Our results thus show that the best trading strategies balance diversification considerations and tax considerations. (C) 2016 Elsevier B.V. All rights reserved.