Market Valuation of Tax‐Timing Options: Evidence from Capital Gains Distributions
研究一种按资本利得而非股息征税的分配，发现投资者每获得1美元已实现资本利得，需要补偿7美分未实现利得，即已实现利得相当于93美分未实现利得，对理解税收时机选择价值有参考。
ABSTRACT We examine a distribution that is taxed as a capital gain rather than as a dividend. Since the distribution induces a realized capital gain while the price change is an unrealized gain, ex‐day return behavior provides evidence of the value of tax‐timing capital gains. We show that investors are compensated 7¢ in unrealized gains for each dollar of realized capital gains, that is, $1 of realized capital gains is equivalent to 93¢ of unrealized gains. An investor with a tax rate on realized gains of 15% has an effective tax rate on unrealized capital gains of 8.6%.