Tax-Induced Intertemporal Restrictions on Security Returns
推导了投资者为税收目的选择资本利得实现时机时，均衡资产价格应满足的可检验限制，并实证检验了税收引起的收益模式，发现税收模型优于无税模型但仍无法充分解释资产收益的横截面差异。
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. Copyright 1994 by American Finance Association.(This abstract was borrowed from another version of this item.)