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Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing
8 references·11 citing·45 second hop
Optimal Liquidation of Assets in the Presence of Personal Taxes: Implications for Asset Pricing (1980)Optimal Liquidation of Assets in the Pres…Capital Market Equilibrium with Personal Tax (1983)Capital Market Equilibrium wi…Risk and Return in Commodity Futures (1980)Risk and Return in Commodity …The effects of the capital gains tax on the selling and switching of common stock (1978)The effects of the capital ga…Dividends and taxes (1978)Dividends and taxesThe pricing of commodity contracts (1976)The pricing of commodity cont…Fact and Fantasy in the Use of Options (1975)Fact and Fantasy in the Use o…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970)TAXES, MARKET VALUATION AND C…Taxing the Disposition Effect: The Impact of Tax Awareness on Investor Behavior (2019)Taxing the Disposition Effect…Derivative financial instruments, tax aggressiveness and firm market value (2014)Derivative financial instrume…Optimal tax-timing and asset allocation when tax rebates on capital losses are limited (2012)Optimal tax-timing and asset …Market Liquidity: Asset Pricing, Risk, and Crises (2012)Market Liquidity: Asset Prici…Dissecting the Idiosyncratic Volatility Anomaly (2012)Dissecting the Idiosyncratic …Taxation, Risk-Taking, and Household Portfolio Behavior**I am grateful to Alan Auerbach, Scott Weisbenner, and participants at the Burch Center Symposium for helpful comments, to Andrew Mitrusi for providing me with data from TAXSIM, and to the Hoover Institution and National Science Foundation for research support. (2002)Taxation, Risk-Taking, and Ho…Further Evidence on the Risk-Return Relationship (2002)Further Evidence on the Risk-…Heterogeneous shareholders and signaling with share repurchases (1997)Heterogeneous shareholders an…Tax-Induced Intertemporal Restrictions on Security Returns (1994)Tax-Induced Intertemporal Res…Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves (1982)Optimal Bond Trading with Per…The economics of hedging and spreading in futures markets (1981)The economics of hedging and …The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)International Reserves for Emerging Economies: A Liquidity Approach (2016)Social norms and market outcomes: The effects of religious beliefs on stock markets (2017)Static and dynamic liquidity spillovers in the Eurozone: The role of financial contagion and the Covid-19 pandemic (2022)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal bond trading with personal taxes (1984)Optimal Consumption and Investment with Capital Gains Taxes (2001)Prospect Theory and the Disposition Effect (2010)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Some Indirect Evidence on Effective Capital Gains Tax Rates (1983)The Effects of Taxation on the Selling of Corporate Stock and the Realization of Capital Gains: Comment (1984)Evidence on Tax-Motivated Securities Trading Behavior (1991)Capital Markets: Theory and Evidence (2003)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)Dividend Policy, Growth, and the Valuation of Shares (1961)Job Market Signaling (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Some anomalous evidence regarding market efficiency (1978)Efficient Capital Markets: II (1991)Is Information Risk a Determinant of Asset Returns? (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Portfolio Inefficiency and the Cross-Section of Expected Returns (1994)Creating Fama and French Factors with Style (2003)A review of capital asset pricing models (2007)Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 Through August 31, 1978 (1985)Informed Trading in Stock and Option Markets (2004)The Information in Option Volume for Future Stock Prices (2006)Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Tactical allocation in commodity futures markets: Combining momentum and term structure signals (2010)Should investors include commodities in their portfolios after all? New evidence (2011)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Does Academic Research Destroy Stock Return Predictability? (2015)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1975Fact and Fantasy in the Use of Options1,021 cited
  • 1970TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY796 cited
  • 1978Dividends and taxes760 cited
  • 1983Capital Market Equilibrium with Personal Tax472 cited
  • 1980Risk and Return in Commodity Futures416 cited
  • 1978The effects of the capital gains tax on the selling and switching of common stock75 cited

Cited by

  • 2012Market Liquidity: Asset Pricing, Risk, and Crises51 cited
  • 2002Further Evidence on the Risk-Return Relationship47 cited
  • 1997Heterogeneous shareholders and signaling with share repurchases41 cited
  • 2019Taxing the Disposition Effect: The Impact of Tax Awareness on Investor Behavior41 cited
  • 2002Taxation, Risk-Taking, and Household Portfolio Behavior**I am grateful to Alan Auerbach, Scott Weisbenner, and participants at the Burch Center Symposium for helpful comments, to Andrew Mitrusi for providing me with data from TAXSIM, and to the Hoover Institution and National Science Foundation for research support.32 cited
  • 1981The economics of hedging and spreading in futures markets29 cited

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2012
Optimal tax-timing and asset allocation when tax rebates on capital losses are limited
26 cited
  • 1982Optimal Bond Trading with Personal Tax: Implications for Bond Prices and Estimated Tax Brackets and Yield Curves23 cited
  • 2012Dissecting the Idiosyncratic Volatility Anomaly21 cited
  • 1994Tax-Induced Intertemporal Restrictions on Security Returns19 cited
  • 2014Derivative financial instruments, tax aggressiveness and firm market value14 cited