We study the optimality of taxing capital income according to a Rate-of-Return Allowance proposed by the Mirrlees Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private investment, but positive with decreasing returns to scale,...

We study the optimality of taxing capital income according to a Rate-of-Return Allowance proposed by the Mirrlees Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private investment, but positive with decreasing returns to scale,...

Tax-exempt municipal bonds (‘munis') are usually held in taxable accounts. The objective of the manager of such accounts should be to maximize after-tax performance. The standard tool for this is the so-called tax-loss harvesting, i.e. selling a bond at a price below the investor's tax basis...

Pricing of capital share risks provides a novel link between macroeconomicsand finance. Our paper adopts the Epstein-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model that extends Lettau et al.'s (2019) capital share...