haku: @author Dammon, R. M. / yhteensä: 5
viite: 2 / 5
Tekijä: | Dammon, R. M. Spatt, C. S. |
Otsikko: | The optimal trading and pricing of securities with asymmetric capital gains taxes and transaction costs. |
Lehti: | Review of Financial Studies
1996 : FALL, VOL. 9:3, p. 921-952 |
Asiasana: | CAPITAL GAINS TAX CAPITAL TAXATION TRANSACTION COSTS SHARE OWNERSHIP SECURITIES OPTIMIZATION |
Kieli: | eng |
Tiivistelmä: | This article explores the optimal trading and pricing of taxable securities with asymmetric capital gains taxes and transaction costs. In the long-term region, investors realize all gains below some critical cutoff level, which we derive analytically. In the short-term region, investors defer all gains and, depending upon the time remaining in the short-term region, may also defer small losses. Contrary to common intuition, deferral of short-term losses can be optimal even without transaction costs. The value of tax timing is considerably higher under alternative strategies previously analyzed. The impact of offset rules is also explored. |
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