Embedded Tax Liabilities and Portfolio Choice
通过无套利论证，证明用无风险贴现率计算未来税收负债现值是合理的，从而调整税后风险与收益，发现税收导致偏好股票而非债券，且偏好将股票放在应税账户、债券放在退休账户，这与传统建议相反。
Taxes play an important role in determining after-tax investment risk and returns, but many practitioners still make investment decisions based on pre-tax values. The apparent complexity of dealing with deferred capital gains and the question of how these implied future tax liabilities should be valued are central to this problem. The authors use a simple arbitrage argument to show that a risk-free discount rate is appropriate for calculating the present value of future tax liabilities. This lets analysts adjust risk and returns for effective tax rates and present a more accurate picture to the investor. The results show a taxation-induced preference for holding equities over bonds and a location preference for holding equities in a taxable account and bonds in retirement accounts. These important findings contrast with traditional investment advice that suggests a greater capacity for risk in retirement accounts. <bold>TOPICS:</bold> <ext-link>Portfolio construction</ext-link>, <ext-link>analysis of individual factors/risk premia</ext-link>, <ext-link>statistical methods</ext-link>