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Modellierung von Aktienanlagen bei laufenden Umschichtungen und einer Besteuerung von Veräußerungsgewinnen


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  • Fochmann, Martin
  • Rumpf, Dominik
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    Dieser Beitrag entwickelt ein Verfahren, das die Komplexität der Endvermögensberechnung von Aktienanlagen unter Berücksichtigung der Besteuerung und regelmäßiger Portfolioumschichtung erheblich reduziert. Bisher ist eine vergleichbar präzise Berechnung wegen rekursiver Abhängigkeiten sehr aufwändig. Die Belastungswirkungen verschiedener Besteuerungsverfahren von Aktienanlagen sind unter der Verwendung des hergeleiteten Verfahrens nun einfacher bestimmbar, sogar dann, wenn sie sich im Zeitpunkt des Steuerzugriffs unterscheiden (Aktienfonds, Zertifikate, Riester-Rente). Diese Vereinfachung wird erreicht, indem ein bestimmtes Umschichtungsverhalten angenommen wird. Dieses Umschichtungsverhalten stimmt mit dem Verhaltensmuster überein, dass der Investor zwar vor der steuerwirksamen Aufdeckung von Kurssteigerungen zurückschreckt, jedoch auch einen Anreiz hat, laufend Umschichtungen im Portfolio vorzunehmen, obwohl dies negative steuerliche Konsequenzen hervorruft. -- This paper develops a technique, which simplifies the calculation of terminal values of share investments when portfolio turnovers repeatedly trigger capital gains taxation. So far the calculations of these values are difficult, due to recursive dependencies, which cannot be expressed by geometric series. Using our technique, tax burdens of differently taxed forms of share investments can be determined in an easy way even if those methods imply different elements of deferred taxation (equity funds, certificates, preferred taxed pension plans). The simplification is reached by assuming a specific trading strategy. This strategy is in line with empirically observed investor behavior which is characterized by periodical portfolio turnovers and reluctance to realize taxable capital gains.

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    Bibliographic Info

    Paper provided by arqus - Arbeitskreis Quantitative Steuerlehre in its series arqus Discussion Papers in Quantitative Tax Research with number 59.

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    Date of creation: 2008
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    Handle: RePEc:zbw:arqudp:59

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    Keywords: Veräußerungsgewinnbesteuerung; Aktienanlage; laufende Umschichtungen; capital gains tax; portfolio investments; periodical portfolio turnovers;

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    1. Homburg, Stefan, 2010. "Allgemeine Steuerlehre," EconStor Books, ZBW - German National Library of Economics, number 92547, May.
    2. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-36, May.
    3. Leland, Hayne E., 1999. "Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes," Research Program in Finance, Working Paper Series qt0fw6k0hm, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
    4. Myron J. Gordon & Eli Shapiro, 1956. "Capital Equipment Analysis: The Required Rate of Profit," Management Science, INFORMS, vol. 3(1), pages 102-110, October.
    5. Caren Sureth & Dirk Langeleh, 2007. "The Degree of Integrating Corporate and Capital Gains Tax into Income Tax and its Impact on Investment Decisions," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 59(4), pages 310-339, October.
    6. Klein, Peter, 1999. "The capital gain lock-in effect and equilibrium returns," Journal of Public Economics, Elsevier, vol. 71(3), pages 355-378, March.
    7. Klein, Peter, 2001. "The capital gain lock-in effect and long-horizon return reversal," Journal of Financial Economics, Elsevier, vol. 59(1), pages 33-62, January.
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