Financial Analyst Journal, Volume 74, Issue 1, 2018
税收📍、卖空和积极管理
作者：Clemens Sialm (University of Texas at Austin),
Nathan Sosner (AQR Capital Management)
摘要🔬：通过个人投资者的应税账户，在量化投资策略的背景下我们研究了卖空的后果。空头头寸不仅可以让投资者从证券预期的表现不佳中受益，而且可以创造税收优惠👨🏻🏭，因为它们增加了资本实现收益的机会。因为投资组合的多头头寸往往会以相对较低的税率实现净长期资本利得，而空头头寸往往会实现净短期资本损失🧘🏿♀️，因此放宽卖空限制会带来税收优惠，从而抵消投资者投资组合中其他策略的短期资本收益。我们的研究结果表明💅，利用卖空的投资策略可以显著降低税收负担，从而具有较好的税后业绩🪖。
Taxes, Shorting, and Active Management
Clemens Sialm (University of Texas at Austin), Nathan Sosner (AQR Capital Management)
ABSTRACT
We examine the consequences of short selling in the context of quantitative investment strategies held by individual investors in taxable accounts. Short positions not only allow investors to benefit from the anticipated underperformance of securities but also create tax benefits because they enhance opportunities to time capital gains realizations. Relaxing short-selling constraints results in tax benefits because a portfolio’s long positions tend to realize net long-term capital gains taxed at relatively low rates, whereas short positions tend to realize net short-term capital losses, which can offset short-term capital gains from other strategies in the investor’s portfolio. Our results show that investment strategies that take advantage of short selling can generate superior after-tax performance by significantly reducing the tax burden.
原文链接👩👩👧👦🤵🏻：
https://www.cfapubs.org/doi/abs/10.2469/faj.v74.n1.1
翻译：秦秀婷
