The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs

摘要: This article explores the optimal trading and pricing of taxable securities with asymmetric capital gains taxes transaction costs. In long-term region, investors realize all below some critical cutoff level, which we derive analytically. short-term defer and, depending upon time remaining in may also small losses. Contrary to common intuition, deferral losses can be even without The value tax timing is considerably bigger under strategy than alternative strategies previously analyzed. impact offset rules explored. Article published by Oxford University Press on behalf Society for Financial Studies its journal, Review Studies.