Taxing the Disposition Effect: The Impact of Tax Awareness on Investor Behavior
通过实验和市场数据，发现提高税收显著性可减少投资者22%至47%的处置效应（即过早卖出盈利股、持有亏损股），提升投资组合收益而不增加交易量，对改善家庭财务决策有政策启示。
Abstract Standard portfolio choice models predict that investors consider the tax implications of trading. However, individuals are disposed toward realizing gains and holding losing investments, behaviors that worsen their performance. We show, in an experimental market, that increasing tax salience reduces the disposition effect between 22% and 47%, leading to higher portfolio balances without increasing total trading activity. Using field data, we find that investors’ disposition is sensitive to taxes around tax rate changes when taxes are likely salient. Our analysis demonstrates that increasing tax awareness can affect households’ portfolio choices, which suggests policy implications for improving financial decision-making.