金融工程研究中心学术报告:Inflation, Taxation, and Capital Gains Indexation: Portfolio Choice and Welfare Implications

報告題目: Inflation, Taxation, and Capital Gains Indexation: Portfolio Choice and Welfare Implications

报 告 人:徐靖  中国人民大学财政金融学院助理教授

報告時間2019126日(周五)上午10:00

報告地點:覽秀樓105學術報告廳

報告摘要:We examine an optimal investment and consumption problem in the presence of inflation risk and capital gains tax. We show that the concern about inflation can significantly strengthen an investor's incentive to defer gains realizations, leading to a first-order increase in the value of the tax-timing option. We also find that capital gains taxation can make low income investors unconditionally better-off if stock dividends are taken into account, and this effect is stronger when inflation risk is considered. Moreover, we demonstrate that capital gains indexation (i.e., the idea of indexing cost basis by inflation) has different implications for the optimal trading strategies of low or high income investors. It encourages low (high) income investors to realize (defer) more capital gains. In contrast to popular views, we find that low income investors may benefit more from capital gains indexation.

 

報告人簡介:徐靖,中國人民大學財政金融學院助理教授。他于2010年從北京大學獲得學士學位,2015年從新加坡國立大學獲得博士學位。其主要研究方向是不完備市場中的最優化理論和應用,研究成果發表于Management Science, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Economic Dynamics and Control等國際學術期刊。

 

 

 

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