中文摘要
我们构建了一个纳入资本利得税(CGT)、交易成本与年末纳税的动态投资组合模型。我们发现，即使极其微小的交易成本也会导致大额亏损的显著推迟实现，而且交易成本对亏损推迟的影响远大于对盈利推迟的影响。因此，我们的模型有助于解释这样一个谜题：即便投资者面临相同的长期/短期资本利得税率，他们仍可能在很长一段时间内推迟实现大额资本亏损，表现出处置效应。此外，我们发现错误估计交易成本代价高昂。我们还提出了若干独特的、可实证检验的预测，并为近期提出的税收政策改革提供了启示。本文由 Agostino Capponi（金融学）接受发表。资助：M. Dai 得到国家自然科学基金[项目号 72432005 和 12071333]、香港研究资助局[项目号 15217123、15212324、15213422 和 T32-615/24]以及香港理工大学[项目号 P0039114、P0042456 和 P0042708]的资助；Y. Lei 得到国家自然科学基金[项目号 72271112]的资助；C. Yang 感谢香港研究资助局、大学教育资助委员会[项目号 ECS 24207621 和 GRF 14207723]的支持。补充材料：数据文件可在 https://doi.org/10.1287/mnsc.2023.03118 获取。
Abstract
We develop a dynamic portfolio model incorporating capital gains tax (CGT), transaction costs, and year-end taxation. We find that even tiny transaction costs can lead to significant deferral of large losses and that transaction costs affect loss deferrals much more than gain deferrals. Our model can thus help explain the puzzle that even when investors face equal long-term/short-term CGT rates, they may still defer realizing large capital losses for an extended period of time, displaying the disposition effect. In addition, we find that misestimating transaction costs is costly. We also provide several unique, empirically testable predictions and shed light on recently proposed tax policy changes. This paper was accepted by Agostino Capponi, finance. Funding: M. Dai was supported by the National Natural Science Foundation of China [Grants 72432005 and 12071333], the Research Grants Council of Hong Kong [Grants 15217123, 15212324, 15213422, and T32-615/24), and The Hong Kong Polytechnic University [Grants P0039114, P0042456, and P0042708]. Y. Lei was supported by the National Natural Science Foundation of China [Grant 72271112]. C. Yang acknowledges support from the Research Grants Council, University Grants Committee, Hong Kong [Grants ECS 24207621 and GRF 14207723]. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2023.03118 .