报告题目:Inflation, Taxation, and Capital Gains Indexation: Portfolio Choice and Welfare Implications

报 告 人：徐靖 中国人民大学财政金融学院助理教授

报告时间：2019年12月6日（周五）上午10:00

报告地点：览秀楼105学术报告厅

报告摘要：We examine an optimal investment and consumption problem in the presence of inflation risk and capital gains tax. We show that the concern about inflation can significantly strengthen an investor's incentive to defer gains realizations, leading to a first-order increase in the value of the tax-timing option. We also find that capital gains taxation can make low income investors unconditionally better-off if stock dividends are taken into account, and this effect is stronger when inflation risk is considered. Moreover, we demonstrate that capital gains indexation (i.e., the idea of indexing cost basis by inflation) has different implications for the optimal trading strategies of low or high income investors. It encourages low (high) income investors to realize (defer) more capital gains. In contrast to popular views, we find that low income investors may benefit more from capital gains indexation.

报告人简介：徐靖，中国人民大学财政金融学院助理教授。他于2010年从北京大学获得学士学位，2015年从新加坡国立大学获得博士学位。其主要研究方向是不完备市场中的最优化理论和应用，研究成果发表于Management Science, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, Journal of Economic Dynamics and Control等国际学术期刊。