Tax-Loss Harvesting: An Individual Investor’s Perspective
利用全国代表性投资者数据，量化了投资者特征和回报环境差异如何导致税收损失收割收益的显著异质性，发现投资者特征解释了约60%的收益差异，帮助投资者和顾问判断谁更适合该策略。
In the tax-loss harvesting literature, a typical investor is assumed to have an unlimited supply of offsetting capital gains and can earn annualized tax alpha on the order of 100 bps. Using boosted regression tree analysis and nationally representative investor-level data, we quantified how investor-characteristic and return environment differences yield significant heterogeneity in expected tax-loss harvesting benefits. Overall, investor profiles drive roughly 60% of the variation in tax-loss harvesting outcomes. Our findings demonstrate that investors (and their advisers) can better target who might (and might not) benefit from various tax-loss harvesting strategies based on individual profile differences.