haku: @indexterm capital gains tax / yhteensä: 94
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| Tekijä: | Klein, P. |
| Otsikko: | The capital gain lock-in effect and equilibrium returns |
| Lehti: | Journal of Public Economics
1999 : MAR, VOL. 71:3, p. 355-378 |
| Asiasana: | CAPITAL GAINS TAX EQUILIBRIUM ANALYSIS ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | This paper develops a general equilibrium model of asset pricing when capital gains are taxed upon realization. Under realistic assumptions, capital gain lock-in is shown to depress the pre-tax returns of securities with accrued capital gains. This result implies slowly dissipating security return reversal, and may help explain empirical findings in the financial economics literature. As in the existing public finance literature, this paper shows that one's own accrued capital gains and investment horizon affect optimal portfolio composition. |
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