yc4646/code.academic_webpage
1
0
Fork 0
Code Issues Pull Requests Releases Wiki Activity

Updated TaxTC to accepted.

Browse Source
This commit is contained in:
Chen Yang
2025-09-04 21:14:04 +08:00
parent 732e25ae40
commit 1a64970923
1 changed files with 19 additions and 19 deletions
Download Patch File Download Diff File Expand all files Collapse all files

38
index.html
View File

@@ -111,7 +111,7 @@
<li><label><b>Spring 2020-2025 </b></label>
<div>SEEM3580 Risk Analysis for Financial Engineering</div>
</li>
<li><label><b>Fall 2019-2024 </b></label>
<li><label><b>Fall 2019-2025 </b></label>
<div>SEEM3590 Investment Science</div>
</li>
</ul>
@@ -233,24 +233,6 @@
</div>
</li><br>
<li>Optimal Tax-Timing with Transaction Costs (with <a class="authorlink" href="https://sites.google.com/view/mindai/home"
target="_blank">Min Dai</a>, Yaoting Lei, and <a class="authorlink" href="http://apps.olin.wustl.edu/faculty/liuh/"
target="blank">Hong Liu</a>).<br>
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTC');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4952040" target="_blank">SSRN</a>]</span><br>
<div class="fade-in" style="display:none" id="abs_TaxTC">
<hr>
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 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 misestimating transaction costs is costly. We also provide
several unique, empirically testable predictions and shed light on recently proposed tax policy
changes.
</div>
</li><br>
<li>Optimal Design of Automated Market Makers on Decentralized Exchanges (with <a class="authorlink"
href="https://sites.google.com/site/xuedonghepage/home" target="_blank">Xuedong He</a> and <a class="authorlink" href="https://hk.linkedin.com/in/yutian-zhou-555870189" target="_blank">Yutian Zhou</a>).<br>
<b>submitted</b>. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_AMM');return false">Abstract</a>|<a class="paperlink"
@@ -337,6 +319,24 @@
</div>
</li><br>
<li>Optimal Tax-Timing with Transaction Costs (with <a class="authorlink" href="https://sites.google.com/view/mindai/home"
target="_blank">Min Dai</a>, Yaoting Lei, and <a class="authorlink" href="http://apps.olin.wustl.edu/faculty/liuh/"
target="blank">Hong Liu</a>).<br>
<i><b>Management Science</b></i>, Accepted For Publication. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTC');return false">Abstract</a>|<a class="paperlink"
href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4952040" target="_blank">SSRN</a>]</span><br>
<div class="fade-in" style="display:none" id="abs_TaxTC">
<hr>
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 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 misestimating transaction costs is costly. We also provide
several unique, empirically testable predictions and shed light on recently proposed tax policy
changes.
</div>
</li><br>
<li>Designing Stablecoins (with <a class="authorlink" href="https://www.linkedin.com/in/yizhoucao/" target="_blank">Yizhou Cao</a>,
<a class="authorlink" href="https://sites.google.com/view/mindai/home" target="_blank">Min Dai</a>, <a class="authorlink"
href="https://www.bu.edu/questrom/profile/steven-kou/" target="_blank">Steven Kou</a> and <a class="authorlink"