We investigate optimal intertemporal asset allocation and location decisions for investors
making taxable and tax‐deferred investments. We show a strong preference for holding …

In stark contrast with liquid asset returns, commercial real estate idiosyncratic return means
and variances do not scale with the holding period, even after accounting for all cash flow …

This article explores the optimal trading and pricing of taxable securities with asymmetric
capital gains taxes and transaction costs. In the long-term region, investors realize all gains …

Much of the modern tax policy debate has centered on two paradigmatic tax treatments:
cash flow taxation and accretion taxation.'For an investment, cash flow taxation calls for …

The presence of long‐term debt in a corporation's capital structure is shown to give rise to a
valuable tax‐timing option that can be exercised by the firm on behalf of its shareholders …

This article reexamines the value of tax trading when the tax rate on long-term realizations is
less than that on short-term realizations. In particular, the value of the option to realize long …

In this paper we examine the effects of capital gains taxation on firms' investment and
financing decisions. We develop a real-options model in which the timing of investment, the …

D URING the past twenty-five years, United States tax authorities have made a major effort to
bring the income taxation of bonds closer to the accretion tax model. 1 A major focus of this …

Risky Business: Economics, Culture and the Taxation of High-Risk Activities Page 1 Risky
Business: Economics, Culture and the Taxation of High-Risk Activities MICHAEL LIVINGSTON …

Taxes have a first-order effect on investors' trading decisions and portfolio choices and on
the equilibrium pricing of assets. In this review, we investigate how certain features of the tax …