Tax‐Induced Intertemporal Restrictions on Security Returns
推导了投资者可择时实现资本利得或损失时均衡资产价格的可检验限制，发现税收择时期权改变了股票收益的大小和时机，实证检验拒绝了无税模型，但税收模型仍无法充分解释资产收益的横截面差异。
ABSTRACT This article derives testable restrictions on equilibrium asset prices when investors have the option to time the realization of their capital gains and losses for tax purposes. The tax‐timing option alters both the magnitude and timing of equity returns relative to those in a tax‐free model. The tax‐induced restrictions are empirically examined, and the tax rates and preference parameters are estimated. While the tax‐free model can be rejected in favor of the tax‐based model as the specified alternative, the tax‐based model is still unable to adequately explain cross‐sectional differences in asset returns.