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Capital Market Equilibrium with Personal Tax

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Cited by:

  1. Christoph Kuhn & Bjorn Ulbricht, 2013. "Modeling capital gains taxes for trading strategies of infinite variation," Papers 1309.7368, arXiv.org, revised Jun 2015.
  2. Benninga, Simon & Sarig, Oded, 2003. "Risk, returns, and values in the presence of differential taxation," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1123-1138, June.
  3. Victor DeMiguel & Raman Uppal, 2005. "Portfolio Investment with the Exact Tax Basis via Nonlinear Programming," Management Science, INFORMS, vol. 51(2), pages 277-290, February.
  4. Jack M. Mintz & Thomas A. Wilson, 1995. "Realization and Revenue Effects of Lifetime Capital Gains Exemptions," Canadian Public Policy, University of Toronto Press, vol. 21(s1), pages 174-192, November.
  5. Klein, Peter, 2004. "The capital gain lock-in effect and perfect substitutes," Journal of Public Economics, Elsevier, vol. 88(12), pages 2765-2783, December.
  6. Hoffmann, Steffen, 2015. "Die steueroptimale Anlegerstrategie bei Wertpapieren und die zugehörige Grenzpreisbestimmung," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 660, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
  7. Saman Majd & Stewart C. Myers, 1985. "Valuing the Government's Tax Claim on Risky Corporate Assets," NBER Working Papers 1553, National Bureau of Economic Research, Inc.
  8. Yaoting Lei & Ya Li & Jing Xu, 2020. "Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes," Management Science, INFORMS, vol. 66(2), pages 823-843, February.
  9. Paul Ehling & Michael Gallmeyer & Sanjay Srivastava & Stathis Tompaidis & Chunyu Yang, 2018. "Portfolio Tax Trading with Carryover Losses," Management Science, INFORMS, vol. 64(9), pages 4156-4176, September.
  10. Poterba, James M, 1987. "Tax Evasion and Capital Gains Taxation," American Economic Review, American Economic Association, vol. 77(2), pages 234-239, May.
  11. Astrup Jensen, Bjarne & Marekwica, Marcel, 2011. "Optimal portfolio choice with wash sale constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1916-1937.
  12. Marekwica, Marcel, 2012. "Optimal tax-timing and asset allocation when tax rebates on capital losses are limited," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2048-2063.
  13. Steven D. Moffitt, 2018. "Why Markets are Inefficient: A Gambling "Theory" of Financial Markets For Practitioners and Theorists," Papers 1801.01948, arXiv.org.
  14. Basak, Suleyman & Croitoru, Benjamin, 2001. "Non-linear taxation, tax-arbitrage and equilibrium asset prices," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 347-382, April.
  15. Shijie Liu & Andrew Adams & Boulis M. Ibrahim, 2013. "Effects of Tax on Investment Portfolios and Financial Markets Under Mixed Integer Stochastic Programming," CFI Discussion Papers 1304, Centre for Finance and Investment, Heriot Watt University.
  16. Acharya, Viral V. & Pedersen, Lasse Heje, 2005. "Asset pricing with liquidity risk," Journal of Financial Economics, Elsevier, vol. 77(2), pages 375-410, August.
  17. Clemens Sialm, 2005. "Tax Changes and Asset Pricing: Time-Series Evidence," NBER Working Papers 11756, National Bureau of Economic Research, Inc.
  18. James M. Poterba, 1986. "How Burdensome are Capital Gains Taxes?," NBER Working Papers 1871, National Bureau of Economic Research, Inc.
  19. Shoven, John B. & Sialm, Clemens, 2004. "Asset location in tax-deferred and conventional savings accounts," Journal of Public Economics, Elsevier, vol. 88(1-2), pages 23-38, January.
  20. Denis Gorea, 2013. "Tax Avoidance, Welfare Transfers, and Asset Prices," 2013 Meeting Papers 1054, Society for Economic Dynamics.
  21. repec:dau:papers:123456789/5600 is not listed on IDEAS
  22. Cornell, Bradfor & Liu, Quiao, 2000. "The Parent Company Puzzle: When is the Whole Worth Less Than One of its Parts?" forthcoming, Journal of Corporate Finance," University of California at Los Angeles, Anderson Graduate School of Management qt1sv5f5xf, Anderson Graduate School of Management, UCLA.
  23. Jensen, Bjarne Astrup, 1999. "On Makeham's formula and xed income mathematics," Working Papers 1999-13, Copenhagen Business School, Department of Finance.
  24. Annika Hegemann & Angela Kunoth & Kristina Rupp & Caren Sureth-Sloane, 2017. "Hold or sell? How capital gains taxation affects holding decisions," Review of Managerial Science, Springer, vol. 11(3), pages 571-603, July.
  25. Jonathan Berk & Richard Stanton, 2004. "A Rational Model of the Closed-End Fund Discount," NBER Working Papers 10412, National Bureau of Economic Research, Inc.
  26. Douglas A. Shackelford & Robert E. Verrecchia, 2002. "Intertemporal Tax Discontinuities," Journal of Accounting Research, Wiley Blackwell, vol. 40(1), pages 205-222, March.
  27. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.
  28. Zhonglan Dai & Edward Maydew & Douglas A. Shackelford & Harold H. Zhang, 2008. "Capital Gains Taxes and Asset Prices: Capitalization or Lock‐in?," Journal of Finance, American Finance Association, vol. 63(2), pages 709-742, April.
  29. Feyzullah Egriboyun & H. Soner, 2010. "Optimal investment strategies with a reallocation constraint," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 551-585, June.
  30. Rainer Niemann & Caren Sureth, 2013. "Sooner or Later? -- Paradoxical Investment Effects of Capital Gains Taxation under Simultaneous Investment and Abandonment Flexibility," European Accounting Review, Taylor & Francis Journals, vol. 22(2), pages 367-390, June.
  31. JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011. "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers dp671, Financial Markets Group.
  32. Choi, Paul Moon Sub & Chung, Chune Young & Kim, Dongnyoung, 2020. "Corporate tax, financial leverage, and portfolio risk," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  33. Christoph Kuhn, 2018. "How local in time is the no-arbitrage property under capital gains taxes ?," Papers 1802.06386, arXiv.org, revised Sep 2018.
  34. Babkin, Anton & Glover, Brent & Levine, Oliver, 2017. "Are corporate inversions good for shareholders?," Journal of Financial Economics, Elsevier, vol. 126(2), pages 227-251.
  35. Roger H. Gordon & James R. Hines, Jr. & Lawrence H. Summers, 1987. "Notes on the Tax Treatment of Structures," NBER Chapters, in: The Effects of Taxation on Capital Accumulation, pages 223-258, National Bureau of Economic Research, Inc.
  36. Karen Alpert & Warren James Knight, 2007. "Effects of taxation for option writers: an Australian perspective," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(1), pages 23-45, March.
  37. Rydqvist, Kristian & Schwartz, Steven T. & Spizman, Joshua D., 2014. "The tax benefit of income smoothing," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 78-88.
  38. Fischer, Marcel & Kraft, Holger & Munk, Claus, 2013. "Asset allocation over the life cycle: How much do taxes matter?," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2217-2240.
  39. Lorenz, Daniela, 2009. "Portfolioauswahl bei Besteuerung realisierter Kursänderungen," Discussion Papers 2009/17, Free University Berlin, School of Business & Economics.
  40. Nicholas Moehle & Mykel J. Kochenderfer & Stephen Boyd & Andrew Ang, 2021. "Tax-Aware Portfolio Construction via Convex Optimization," Journal of Optimization Theory and Applications, Springer, vol. 189(2), pages 364-383, May.
  41. Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532, Elsevier.
  42. James M. Poterba & Lawrence H. Summers, 1984. "The Economic Effects of Dividend Taxation," Working papers 343, Massachusetts Institute of Technology (MIT), Department of Economics.
  43. Niemann Rainer & Sureth Caren, 2005. "Capital Budgeting with Taxes under Uncertainty and Irreversibility / Investitionsplanung mit Steuern bei Unsicherheit und Irreversibilität," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(1), pages 77-95, February.
  44. Shapira, Zur & Venezia, Itzhak, 2001. "Patterns of behavior of professionally managed and independent investors," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1573-1587, August.
  45. Yamazaki, Fukuju & Idee, Takako, 1997. "An Estimation of the Lock-In Effect of Capital Gains Taxation," Journal of the Japanese and International Economies, Elsevier, vol. 11(1), pages 82-104, March.
  46. Agapova, Anna & Kaprielyan, Margarita, 2020. "Stock volatility and trading," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  47. Yves Balcer & Kenneth L. Judd, 1985. "Optimal Consumption Plans and Portfolio Management with Duration- Dependent Returns," Discussion Papers 673, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  48. Garlappi, Lorenzo & Huang, Jennifer, 2006. "Are stocks desirable in tax-deferred accounts?," Journal of Public Economics, Elsevier, vol. 90(12), pages 2257-2283, December.
  49. Christine Brown & Katrina Efthim, 2005. "Effect of Taxation on Equal Access Share Buybacks in Australia," International Review of Finance, International Review of Finance Ltd., vol. 5(3‐4), pages 199-218, September.
  50. V. V. Chari & Mikhail Golosov & Aleh Tsyvinski, 2003. "Business Start-ups, the Lock-in Effect, and Capital Gains Taxation," Levine's Working Paper Archive 506439000000000222, David K. Levine.
  51. Fong, Kingsley Y.L. & Gallagher, David R. & Lau, Sarah S.W. & Swan, Peter L., 2009. "Do active fund managers care about capital gains tax efficiency?," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 257-270, April.
  52. Christoph Kuhn & Budhi Arta Surya & Bjorn Ulbricht, 2014. "Optimal Selling Time of a Stock under Capital Gains Taxes," Papers 1501.00026, arXiv.org.
  53. Landsman, Wayne R. & Shackelford, Douglas A., 1995. "The Lock-in Effect of Capital Gains Taxes: Evidence From the RJR Nabisco Leveraged Buyout," National Tax Journal, National Tax Association;National Tax Journal, vol. 48(2), pages 245-259, June.
  54. Jouini, Elyes & Koehl, Pierre-F. & Touzi, Nizar, 2000. "Optimal investment with taxes: an existence result," Journal of Mathematical Economics, Elsevier, vol. 33(4), pages 373-388, May.
  55. Rochet, Jean-Charles. & Vila, Jean-Luc., 1991. "Insider trading and market manipulations--existence and uniqueness of equilibrium," Working papers 3318-91., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  56. Bergstresser, Daniel & Pontiff, Jeffrey, 2013. "Investment taxation and portfolio performance," Journal of Public Economics, Elsevier, vol. 97(C), pages 245-257.
  57. Rumpf, Dominik, 2013. "Zinsbereinigung bei der Dualen Einkommensteuer," Beiträge zur Finanzwissenschaft, Mohr Siebeck, Tübingen, edition 1, volume 32, number urn:isbn:9783161528699, August.
  58. Daniel J. Kovenock & Michael Rothschild, 1987. "Notes on the Effect of Capital Gain Taxation on Non-Austrian Assets," Palgrave Macmillan Books, in: Assaf Razin & Efraim Sadka (ed.), Economic Policy in Theory and Practice, chapter 9, pages 309-342, Palgrave Macmillan.
  59. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  60. Jacob, Martin, 2014. "Cross-base tax elasticity of capital gains," arqus Discussion Papers in Quantitative Tax Research 169, arqus - Arbeitskreis Quantitative Steuerlehre.
  61. Kenneth L. Judd, 1986. "Capital Gains Taxation by Realization in Dynamic General Equilibrium," Discussion Papers 681, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  62. Marco Realdon, 2013. "Participation exemption and tax arbitrage: Italy’s case," European Journal of Law and Economics, Springer, vol. 36(1), pages 77-93, August.
  63. Clemens Sialm, 2006. "Investment Taxes and Equity Returns," NBER Working Papers 12146, National Bureau of Economic Research, Inc.
  64. Francesco Menoncin & Paolo M. Panteghini, 2013. "The Johansson-Samuelson Theorem in General Equilibrium: A Rebuttal," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 69(1), pages 57-71, March.
  65. 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.
  66. Roger Gordon & Laura Kalambokidis & Joel Slemrod, 2003. "A New Summary Measure of the Effective Tax Rate on Investment," NBER Working Papers 9535, National Bureau of Economic Research, Inc.
  67. Gordon, Roger H. & Lee, Young, 2001. "Do taxes affect corporate debt policy? Evidence from U.S. corporate tax return data," Journal of Public Economics, Elsevier, vol. 82(2), pages 195-224, November.
  68. Fischer, Marcel & Gallmeyer, Michael F., 2016. "Heuristic portfolio trading rules with capital gain taxes," Journal of Financial Economics, Elsevier, vol. 119(3), pages 611-625.
  69. Marekwica, Marcel & Schaefer, Alexander & Sebastian, Steffen, 2013. "Life cycle asset allocation in the presence of housing and tax-deferred investing," Journal of Economic Dynamics and Control, Elsevier, vol. 37(6), pages 1110-1125.
  70. Hanlon, Michelle & Heitzman, Shane, 2010. "A review of tax research," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 127-178, December.
  71. Constantinides, George M., 1984. "Optimal stock trading with personal taxes : Implications for prices and the abnormal January returns," Journal of Financial Economics, Elsevier, vol. 13(1), pages 65-89, March.
  72. Jianping Mei & Michael A. Moses & Zur B. Shapira & Lawrence J. White, 2010. "Loss Aversion? What Loss Aversion? Some Surprising Evidence from the Art Market," Working Papers 10-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  73. Suzanne O’Curry Fogel & Thomas Berry, 2010. "The Disposition Effect and Individual Investor Decisions: The Roles of Regret and Counterfactual Alternatives," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 4, Edward Elgar Publishing.
  74. Viard, Alan D., 2000. "Dynamic asset pricing effects and incidence of realization-based capital gains taxes," Journal of Monetary Economics, Elsevier, vol. 46(2), pages 465-488, October.
  75. Gomes, Francisco J & Michaelides, Alexander & Polkovnichenko, Valery, 2005. "Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts," CEPR Discussion Papers 4852, C.E.P.R. Discussion Papers.
  76. Douglas A. Shackelford, 2000. "Stock Market Reaction to Capital Gains Tax Changes: Empirical Evidence from the 1997 and 1998 Tax Acts," NBER Chapters, in: Tax Policy and the Economy, Volume 14, pages 67-92, National Bureau of Economic Research, Inc.
  77. Richard J. Rendleman, Jr. & Douglas A. Shackelford, 2003. "Diversification and the Taxation of Capital Gains and Losses," NBER Working Papers 9674, National Bureau of Economic Research, Inc.
  78. Sinai, Todd & Gyourko, Joseph, 2004. "The asset price incidence of capital gains taxes: evidence from the Taxpayer Relief Act of 1997 and publicly-traded real estate firms," Journal of Public Economics, Elsevier, vol. 88(7-8), pages 1543-1565, July.
  79. Landsman, Wayne R. & Shackelford, Douglas A., 1995. "The Lock-In Effect of Capital Gains Taxes: Evidence from the RJR Nabisco Leveraged Buyout," National Tax Journal, National Tax Association, vol. 48(2), pages 245-259, June.
  80. Marco Pleßner, 2017. "The disposition effect: a survey," Management Review Quarterly, Springer, vol. 67(1), pages 1-30, February.
  81. Ali Akbar Gholizadeh, 2014. "Capital Gains Tax and Housing Price Bubble: A Cross-Country Study," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 18(2), pages 47-71, Spring.
  82. Levaggi, Rosella & Menoncin, Francesco, 2016. "Optimal dynamic tax evasion: A portfolio approach," Journal of Economic Behavior & Organization, Elsevier, vol. 124(C), pages 115-129.
  83. Rozycki, John J., 1997. "A tax motivation for smoothing dividends," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 563-578.
  84. Klein, Peter, 1999. "The capital gain lock-in effect and equilibrium returns," Journal of Public Economics, Elsevier, vol. 71(3), pages 355-378, March.
  85. Frank Seifried, 2010. "Optimal investment with deferred capital gains taxes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(1), pages 181-199, February.
  86. repec:spr:compst:v:71:y:2010:i:3:p:551-585 is not listed on IDEAS
  87. Katarzyna Romaniuk, 2013. "Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?," Annals of Finance, Springer, vol. 9(4), pages 573-588, November.
  88. Constantinides, George M & Ingersoll, Jonathan E, Jr, 1982. "Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves," Journal of Finance, American Finance Association, vol. 37(2), pages 349-352, May.
  89. Dahlquist, Magnus & Robertsson, Göran & Rydqvist, Kristian, 2014. "Direct evidence of dividend tax clienteles," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 1-12.
  90. Paul Harrison & Harold H. Zhang, "undated". "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997 175, Society for Computational Economics.
  91. Jiatu Cai & Xinfu Chen & Min Dai, 2018. "Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching," Management Science, INFORMS, vol. 64(5), pages 2308-2324, May.
  92. James Bashall & Gizelle D. Willows & Darron West, 2018. "The Extent to Which Professional Advice Can Reduce the Disposition Effect: An Emerging Market Study," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2), pages 229-249, August.
  93. Roger Gordon & Martin Dietz, 2006. "Dividends and Taxes," NBER Working Papers 12292, National Bureau of Economic Research, Inc.
  94. repec:spr:compst:v:71:y:2010:i:1:p:181-199 is not listed on IDEAS
  95. Jennifer L. Blouin & Jana Smith Raedy & Douglas A. Shackelford, 2003. "Capital Gains Taxes and Equity Trading: Empirical Evidence," Journal of Accounting Research, Wiley Blackwell, vol. 41(4), pages 611-651, September.
  96. Joel M. Dickson & John B. Shoven, 1994. "A Stock Index Mutual Fund Without Net Capital Gains Realizations," NBER Working Papers 4717, National Bureau of Economic Research, Inc.
  97. Persons, John C., 1997. "Heterogeneous shareholders and signaling with share repurchases," Journal of Corporate Finance, Elsevier, vol. 3(3), pages 221-249, June.
  98. Douglas R. Emery & Wilbur G. Lewellen & David C. Mauer, 1988. "Tax-Timing Options, Leverage, And The Choice Of Corporate Form," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(2), pages 99-110, June.
  99. Summers, Barbara & Duxbury, Darren, 2012. "Decision-dependent emotions and behavioral anomalies," Organizational Behavior and Human Decision Processes, Elsevier, vol. 118(2), pages 226-238.
  100. Auerbach, Alan J, 1991. "Retrospective Capital Gains Taxation," American Economic Review, American Economic Association, vol. 81(1), pages 167-178, March.
  101. Frank Milne & Xing Jin, 2006. "Taxation And Transaction Costs In A General Equilibrium Asset Economy," Working Paper 1111, Economics Department, Queen's University.
  102. Cornell, Bradford & Liu, Qaio, 2001. "The parent company puzzle: when is the whole worth less than one of the parts?," Journal of Corporate Finance, Elsevier, vol. 7(4), pages 341-366, December.
  103. Patrick J. Hess, 1981. "Dividend Yields and Stock Returns: A Test for Tax Effects," NBER Working Papers 0649, National Bureau of Economic Research, Inc.
  104. Moustapha Pemy & Qing Zhang & G. George Yin, 2008. "Liquidation Of A Large Block Of Stock With Regime Switching," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 629-648, October.
  105. Stylianos X. Koufadakis, 2016. "Mispricing Explanations of Closed-End Funds: A Survey Review," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 66(1-2), pages 108-135, January-J.
  106. Hoffmann, Steffen, 2015. "Renditesteigerung durch Steuerstundungseffekte bei Kuponanleihen und Nullkuponanleihen," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 661, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
  107. Landsman, Wayne R. & Shackelford, Douglas A. & Yetman, Robert J., 2002. "The determinants of capital gains tax compliance: evidence from the RJR Nabisco leveraged buyout," Journal of Public Economics, Elsevier, vol. 84(1), pages 47-74, April.
  108. Klein, Peter, 1998. "The capital gain lock-in effect with short sales constraints," Journal of Banking & Finance, Elsevier, vol. 22(12), pages 1533-1558, December.
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