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Tax-Induced lntertemporal Restrictions on Security Returns

Bossaerts, Peter and Dammon, Robert M. (1994) Tax-Induced lntertemporal Restrictions on Security Returns. Journal of Finance, 49 (4). pp. 1347-1371. ISSN 0022-1082. doi:10.1111/j.1540-6261.1994.tb02457.x.

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This article derives testable restrictions on equilibrium asset prices when investors have the option to time the realization of their capital gains and losses for tax purposes. The tax-timing option alters both the magnitude and timing of equity returns relative to those in a tax-free model. The tax-induced restrictions are empirically examined, and the tax rates and preference parameters are estimated. While the tax-free model can be rejected in favor of the tax-based model as the specified alternative, the tax-based model is still unable to adequately explain cross-sectional differences in asset returns.

Item Type:Article
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Bossaerts, Peter0000-0003-2308-2603
Additional Information:© 1994 the American Finance Association.
Issue or Number:4
Record Number:CaltechAUTHORS:20170901-140958677
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Official Citation:BOSSAERTS, P. and DAMMON, R. M. (1994), Tax-Induced Intertemporal Restrictions on Security Returns. The Journal of Finance, 49: 1347–1371. doi:10.1111/j.1540-6261.1994.tb02457.x
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:81090
Deposited By: Tony Diaz
Deposited On:05 Sep 2017 22:13
Last Modified:15 Nov 2021 19:41

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