Le Yaoting,Li Ya,徐靖——MANAGEMENT SCIENCE:Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes
时间:2020-02-03
In asset return predictability, realized returns and future expected returns tend to move in opposite directions. This generates a tension between tax- and market-timing incentives. In this study, a portfolio choice problem in the presence of both return predictability and capital gains tax is examined. We characterize various features of the optimal trading strategy, and demonstrate that the optimal strategy helps mitigate the tension between market- and tax-timing. The calibrated model suggest