Taxes create distortions in financial markets. A tax credit attached to dividend payments in Australia creates a wedge in valuations as it can be utilized only by certain investors. Individual investors, who benefit most from the credit, buy aggressively cum-dividend and sell aggressively...

This paper studies the causal effects of personal investment taxes on stock demand, stock returns, and the financial decisions of companies. I exploit a change in legislation in 2013 which allowed stocks listed on the Alternative Investment Market, a sub-market of the London Stock Exchange, to...

Taxes have a first-order impact on portfolio returns. Most research mistakenly assumes that portfolios command similar tax burdens, or that tax burdens are proportional to dividend yields. Portfolio strategies differ in the pace of capital gains realization. We use the federal tax codes from...

Stock investors who are charitable donors can minimize capital gains taxes and improve portfolio diversification by donating their most appreciated shares instead of cash, and then investing the freed-up cash in the portfolio's least-weighted stocks. The charity is indifferent to the donation...

This paper characterizes the optimal income and wealth tax schedules when rates of return are endogenous. Individuals exert investment effort in order to increase the return on their investments. Agents are heterogeneous along two dimensions: their investment ability and their labour market...

In asset return predictability, realized returns and future expected returns tend to move in opposite directions. This generates a tension between tax-timing and market-timing incentives. In this study, a portfolio choice problem in the presence of both return predictability and capital gains...

Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...

Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...

This paper characterises optimal taxation when rates of return are affected by effort, ability, and financial advice. When the government observes wealth and capital income, the optimal marginal tax rate on capital income is positive, whereas the rate on wealth is negative in the baseline model....

We argue that the tax capitalization effect is a function of the attention of market participants. Market reactions can therefore be driven not only by the announcement dates of tax events but also by factors influencing the dissemination of tax information, such as deadlines and media reports....