Artikel
How the closure of a U.S. tax loophole may affect investor portfolios
In the United States, exchange-traded funds can defer capital gains taxes of their investors by taking advantage of a legal loophole. To quantify the impact of this tax loophole on investor portfolios, we study a rank-dependent expected utility model. We develop an approximation formula for the sensitivity of the optimal investment strategy with respect to changes in the expected asset returns. By applying this approximation formula, we are able to quantitatively estimate how much investor portfolios may change depending on the investment horizon if the tax loophole is closed.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 15 ; Year: 2022 ; Issue: 5 ; Pages: 1-10
- Classification
-
Management
- Subject
-
capital gains tax
ETFs
mutual funds
portfolio allocation
- Event
-
Geistige Schöpfung
- (who)
-
Frei, Christoph
Welsh, Liam
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2022
- DOI
-
doi:10.3390/jrfm15050209
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Frei, Christoph
- Welsh, Liam
- MDPI
Time of origin
- 2022
Other Objects (12)
Investors' Portfolio Choice and Tax Reforms: The 2008 German Corporate Tax Reform Reconsidered
Exploiting investor sentiment for portfolio optimization
Exploiting investor sentiment for portfolio optimization
Exploiting investor sentiment for portfolio optimization
How do taxes affect the trading behavior of private investors? Evidence from individual portfolio data
How do taxes affect the trading behavior of private investors? Evidence from individual portfolio data
Investor sentiment, portfolio returns, and macroeconomic variables
Analysis of Portfolio Risk of Private Investors
Regional political climate and individual investors’ portfolios
Do investors care about tax disclosure?
Do investors care about tax disclosure?
Foreign portfolio investors before and during a crisis
Investors' Portfolio Choice and Tax Reforms: The 2008 German Corporate Tax Reform Reconsidered
Exploiting investor sentiment for portfolio optimization
Exploiting investor sentiment for portfolio optimization
Exploiting investor sentiment for portfolio optimization
How do taxes affect the trading behavior of private investors? Evidence from individual portfolio data
How do taxes affect the trading behavior of private investors? Evidence from individual portfolio data
Investor sentiment, portfolio returns, and macroeconomic variables
Analysis of Portfolio Risk of Private Investors
Regional political climate and individual investors’ portfolios
Do investors care about tax disclosure?
Do investors care about tax disclosure?
Foreign portfolio investors before and during a crisis
Investors' Portfolio Choice and Tax Reforms: The 2008 German Corporate Tax Reform Reconsidered
Exploiting investor sentiment for portfolio optimization
Exploiting investor sentiment for portfolio optimization
Exploiting investor sentiment for portfolio optimization
How do taxes affect the trading behavior of private investors? Evidence from individual portfolio data
How do taxes affect the trading behavior of private investors? Evidence from individual portfolio data
Investor sentiment, portfolio returns, and macroeconomic variables
Analysis of Portfolio Risk of Private Investors
Regional political climate and individual investors’ portfolios
Do investors care about tax disclosure?
Do investors care about tax disclosure?