Many tax-codes around the world allow for special taxable treatment of savings in retirement accounts. In particular, profits in retirement accounts are usually tax exempt which allow investors to increase an asset's return by holding it in such a retirement account. While the existing...

Taxes have a first-order effect on investors' trading decisions and portfolio choices and on the equilibrium pricing of assets. In this review, we investigate how certain features of the tax code impact investors and asset markets. We begin by considering how tax heterogeneity across investors...

Identifying the effect of differential taxation on portfolio allocation requires exogenous variation in marginal tax rates. Marginal tax rates vary with income, but income surely affects portfolio choice directly. In systems of individual taxation - like Canada's - couples with the same...

Identifying the effect of differential taxation on portfolio allocation requires exogenous variation in marginal tax rates. Marginal tax rates vary with income, but income surely affects portfolio choice directly. In systems of individual taxation - like Canada's - couples with the same...

Dieser Beitrag entwickelt ein Verfahren, das die Komplexität der Endvermögensberechnung von Aktienanlagen unter Berücksichtigung der Besteuerung und regelmäßiger Portfolioumschichtung erheblich reduziert. Bisher ist eine vergleichbar präzise Berechnung wegen rekursiver Abhängigkeiten sehr...

Many college and university 403(b) plans restrict the menu of investment choices to funds offered by TIAA-CREF, the current manager of over half of all 403(b) contributions. Further, in the face of Internal Revenue Code changes that will take effect in 2006 and will make 403(b) plan ERISA...

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...

For savers, the quality of an investment is measured by the efficiency with which it defers purchasing power to the future. This efficiency can in turn be measured by the real rate of return after tax (discounting for inflation) obtained on the investment.Two main factors affect the real rate of...

We analytically solve the portfolio choice problem in the presence of wash sale constraints in a two-period model. Wash sale constraints induce a trade-off between realizing losses immediately in order to benefit from tax rebate payments and the ability to choose a portfolio composition in...

We study in this paper the consequences of short selling in the context of quantitative investment strategies. Short positions not only allow investors to benefit from the anticipated underperformance of securities, they can also create tax benefits because they enhance the opportunities to time...