Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes
研究了在回报可预测性下，投资者如何同时优化市场时机和税收时机，发现最优策略能缓解两者间的冲突，且回报可预测性会显著影响资本利得税的福利效应。
In asset return predictability, realized returns and future expected returns tend to move in opposite directions. This generates a tension between tax- and market-timing incentives. In this study, a portfolio choice problem in the presence of both return predictability and capital gains tax is examined. We characterize various features of the optimal trading strategy, and demonstrate that the optimal strategy helps mitigate the tension between market- and tax-timing. The calibrated model suggests that return predictability can significantly increase both the utility loss due to capital gains tax and the value of deferring capital gains realization. Overall, our results suggest that the nature of the asset return process can have important implications for the welfare effects of capital gains tax. This paper was accepted by Karl Diether, finance.