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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...
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We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our analysis of this particular group of German stocks, we can...
Persistent link: https://www.econbiz.de/10012291925
We analyze a multi-period model of capital gains taxation with endogenous prices. Relative to an economy without taxation, a capital gains tax tends to lower prices and increase returns. Abstracting from tax redistribution policies, we find that a taxable investor's welfare falls, a nontaxable...
Persistent link: https://www.econbiz.de/10014514074
Investors with taxable portfolios sometimes delay the sale of appreciated stock to defer capital gains taxes. While this strategy does help to reduce taxes, it can cause the portfolio to become more concentrated over time, leading to higher overall volatility and lower long-term returns. This...
Persistent link: https://www.econbiz.de/10015412134
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economies that had not been seen in decades. This pushed up interest rates, which in turn led to higher yields in global bond … markets. This study examines two distinct channels that transmit advanced economy inflation to emerging market bond yields by … and contraction in emerging market bond yields. Second, the shortrun effect of advanced economy inflation on the bond …
Persistent link: https://www.econbiz.de/10014368399
risk evaluation, on which the literature is limited. Despite the growth of EM bond funds in recent years, comprehensive …. This study focuses on an untouched field-long memory properties-and the application of fractional models to EM bond … tools for risk management, as they deliver satisfactory empirical results for several static and dynamic versions of EM bond …
Persistent link: https://www.econbiz.de/10012418409
bond portfolio. The reason for this is that a pure stock portfolio loses a large fraction of its value in a downturn. We …
Persistent link: https://www.econbiz.de/10012628177
The focus of this review is to exhibit a thorough analysis of prominent aspects in bond funds literature and their … the visualizing patterns to capture the fact-based insight into trending themes in the amphitheater of bond funds. The … review further explicitly identifies three research fronts, i.e. performance measures, risk approaches, and bond fund flows …
Persistent link: https://www.econbiz.de/10012631284