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Modellierung von Aktienanlagen bei laufenden Umschichtungen und einer Besteuerung von Veräußerungsgewinnen

Author

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  • Fochmann, Martin
  • Rumpf, Dominik

Abstract

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.

Suggested Citation

  • Fochmann, Martin & Rumpf, Dominik, 2008. "Modellierung von Aktienanlagen bei laufenden Umschichtungen und einer Besteuerung von Veräußerungsgewinnen," arqus Discussion Papers in Quantitative Tax Research 59, arqus - Arbeitskreis Quantitative Steuerlehre.
  • Handle: RePEc:zbw:arqudp:59
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    References listed on IDEAS

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    1. 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.
    2. Myron J. Gordon & Eli Shapiro, 1956. "Capital Equipment Analysis: The Required Rate of Profit," Management Science, INFORMS, vol. 3(1), pages 102-110, October.
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    4. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-636, May.
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    6. Homburg, Stefan, 2010. "Allgemeine Steuerlehre," EconStor Books, ZBW - German National Library of Economics, number 92547.
    7. 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.
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    More about this item

    Keywords

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

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • H24 - Public Economics - - Taxation, Subsidies, and Revenue - - - Personal Income and Other Nonbusiness Taxes and Subsidies

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