Tax management strategies with multiple risky assets

• 成果类型: Article
• 署名作者: Gallmeyer, Michael F.; Kaniel, Ron; Tompaidis, Stathis
• 署名单位: Texas A&M University System; Texas A&M University College Station; Mays Business School; Duke University; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.08.010
• 发表日期: 2006
• 页码: 243-291
• 关键词: portfolio choice; Capital gain taxation; Short selling

摘要

We study the consumption-portfolio problem in a setting with capital gain taxes and multiple risky stocks to understand how short selling influences portfolio choice with a shorting-the-box restriction. Our analysis uncovers a novel trading flexibility strategy whereby, to minimize future tax-induced trading costs, the investor optimally shorts one of the stocks (or equivalently, buys put options) even when no stock has an embedded gain. Alternatively, an imperfect form of shorting the box can reduce aggregate equity exposure ex post. Given these two short selling strategies, it is common for an unconstrained investor to short some equity while a constrained investor holds a positive investment in all stocks. With no shorting, the benefit of trading separately in multiple stocks is not economically significant. (c) 2005 Published by Elsevier B.V.