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- Portfolio Selection with Time-Varying Taxation (with Xianhao Zhu).
- Working Paper. [Abstract]
-
-
- The capital gains tax rate has fluctuated significantly over time, leading to substantial changes in
- investors' optimal strategies, as documented by the empirical studies. This paper proposes a novel
- continuous-time portfolio selection framework with a time-varying capital gains tax rate. Featuring
- differential tax rate announcement time and implementation time, our framework is able to capture
- the investors' anticipation over a potential future tax rate change before its announcement, as well
- as their reaction to an announced tax change yet to be implemented. The optimal investment strategy
- embodies the interaction between the time-varying tax rate and the lock-in and diversification
- effects proposed in the existing literature. Furthermore, our findings provide theoretical support
- for the permanent and transitory effects of tax rate changes documented in the empirical studies.
- The strength of the transitory effect depends on the size of the tax rate change, and the tax rate
- uncertainty mostly affects the transitory effect and has a negligible impact on the permanent
- effect. Moreover, the permanent effect vanishes under a zero interest rate while the transitory
- effect persists.
-
-
-
Periodic Evaluation with Non-Concave Utility (with Cong Qin and Harry Zheng).