Optimal Tax Timing with Transaction Costs

• 成果类型: Article; Early Access
• 署名作者: Dai, Min; Lei, Yaoting; Liu, Hong; Yang, Chen
• 署名单位: Hong Kong Polytechnic University; Hong Kong Polytechnic University; Nanchang University; Washington University (WUSTL); Fudan University; Chinese University of Hong Kong
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.03118
• 发表日期: 2026
• 关键词: portfolio choice; capital gains tax; transaction costs; delayed tax

摘要

We develop a dynamic portfolio model incorporating capital gains tax (CGT), transaction costs, and year-end taxation. We find that even tiny transaction costs can lead to significant deferral of large losses and that transaction costs affect loss deferrals much more than gain deferrals. Our model can thus help explain the puzzle that even when investors face equal long-term/short-term CGT rates, they may still defer realizing large capital losses for an extended period of time, displaying the disposition effect. In addition, we find that misestimating transaction costs is costly. We also provide several unique, empirically testable predictions and shed light on recently proposed tax policy changes.