Portfolio Tax Trading with Carryover Losses
研究了在资本损失只能抵扣当前或未来已实现资本利得的税收规则下，投资者如何选择多只股票的投资组合。回测发现最优持股比例显著低于文献基准，且组合长期分散不足，错误建模资本损失的经济成本至少占一生财富的8%。
We study portfolio choice with multiple stocks and capital gains taxation, assuming that capital losses can only offset current or future realized capital gains. We show, through backtesting using empirical distributions, that optimal equity holdings over an extended period are significantly lower on average than benchmark holdings suggested in the literature. Using value and growth or small and large portfolios, the backtests show that allocations remain persistently underdiversified. Carryover losses have large economic significance since they can dramatically shrink the no-trade region. Finally, the backtested economic cost of incorrectly modeling capital losses is at least 8% of lifetime wealth. The Internet appendix is available at https://doi.org/10.1287/mnsc.2017.2733 . This paper was accepted by Neng Wang, finance.