Publisher Summary This chapter focuses on the econometric treatment of portfolio choice
problems. The goal is to describe, discuss, and illustrate through examples the different …

This literature review evaluates the development and impact of analytical tax research (ATR)
from 2000 until 2022. Based on 345 research papers, we (1) identify emerging and declining …

This paper provides direct evidence supporting the tax‐loss selling hypothesis as an
explanation of the January effect. Examining turn‐of‐the‐year return and volume patterns for …

ABSTRACT I study whether the capital gains tax is an impediment to selling by some
investors and if so, to what degree associated delayed selling affects stock prices. I find that …

We examine the effect of personal taxes on CEOs' decisions to sell their equity, controlling
for diversification, managerial overconfidence, and other determinants. While CEOs …

We develop a dynamic portfolio choice model with illiquid alternative assets to analyze the
“endowment model,” widely adopted by institutional investors, such as pension funds …

Advances in financial technology have made tax-loss harvesting more feasible for retail
investors than such strategies were in the past. We evaluated the magnitude of this “tax …

We solve and estimate a life-cycle model with earnings risk and liquidity constraints in the
presence of tax-deferred retirement accounts (TDAs). We explicitly consider two very …

Traditionally, quantitative models that have studied households׳ portfolio choices have
focused exclusively on the different risk properties of alternative financial assets. We …

We analyze an intertemporal portfolio problem with both taxable and tax-deferred retirement
accounts. Using a tax-arbitrage argument, we identify conditions under which the optimal …