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Financial Analysts Journal Volume 76, 2020 - Issue 3
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Research

An Empirical Evaluation of Tax-Loss-Harvesting Alpha

Shomesh E. Chaudhuri Shomesh E. Chaudhuri is chief technology officer of QLS Advisors, Cambridge, Massachusetts.ORCID Iconhttps://orcid.org/0000-0002-4141-570X
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Terence C. Burnham Terence C. Burnham is an associate professor at George L. Argyros School of Business and Economics, Chapman University, Orange, California.ORCID Iconhttps://orcid.org/0000-0003-2752-8510
ORCID Icon &
Andrew W. Lo Andrew W. Lo is the Charles E. and Susan T. Harris Professor at Sloan School of Management and director of the Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT), Cambridge, Massachusetts; Electrical Engineering and Computer Science Department, MIT; Computer Science and Artificial Intelligence Laboratory, MIT; Santa Fe Institute, Santa Fe, New Mexico.ORCID Iconhttps://orcid.org/0000-0003-2944-7773
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Pages 99-108 | Published online: 30 Jun 2020

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Read on this site (3)

Yin Chen & Roni Israelov. (2024) Exclude with Impunity: Personalized Indexing and Stock Restrictions. Financial Analysts Journal 80:2, pages 7-25.
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Hamid Boustanifar & Young Dae Kang. (2022) Employee Satisfaction and Long-Run Stock Returns, 1984–2020. Financial Analysts Journal 78:3, pages 129-151.
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Kevin Khang, Thomas Paradise & Joel Dickson. (2021) Tax-Loss Harvesting: An Individual Investor’s Perspective. Financial Analysts Journal 77:4, pages 128-150.
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Articles from other publishers (12)

Stanley Krasner, Joseph Liberman, Nathan Sosner & sydney filler. (2024) Levering Up to Do Good: Direct Long-Short Investing and Charitable Giving. SSRN Electronic Journal.
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Joseph Liberman & Nathan Sosner. (2024) Combining VPFs and Tax-Aware Strategies to Diversify Low-Basis Stock. SSRN Electronic Journal.
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Stanley Krasner & Nathan Sosner. (2023) Loss Harvesting or Gain Deferral? A Surprising Source of Tax Benefits of Tax-Aware Long-Short Strategies. SSRN Electronic Journal.
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Paul Bouchey, Steven Edwards & Spencer Cavallo. (2023) Using a Direct Index in a Core-Satellite Portfolio. SSRN Electronic Journal.
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Roni Israelov & Jason Lu. (2023) A Tax-Loss Harvesting Horserace: Direct Indexing vs. ETFs. SSRN Electronic Journal.
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Nicholas Moehle, Mykel J. Kochenderfer, Stephen Boyd & Andrew Ang. (2021) Tax-Aware Portfolio Construction via Convex Optimization. Journal of Optimization Theory and Applications 189:2, pages 364-383.
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Roni Israelov & Jason Lu. (2022) Optimized Tax Loss Harvesting: A Simple Algorithm and Framework. SSRN Electronic Journal.
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Wolfgang Breuer, Andreas Knetsch & Eric Sachsenhausen. (2022) Return prediction or investor manipulation? Recommendations of non-professional analysts and stock price movement. SSRN Electronic Journal.
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Nam Nguyen, Alejandro Rivera & Harold Huibing Zhang. (2021) Incentivizing Investors for a Greener Economy. SSRN Electronic Journal.
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Shaojun Zhang. (2021) Toward Tax Efficient Low Volatility Investing. SSRN Electronic Journal.
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Nathan Sosner, Michael Gromis & Stanley Krasner. (2021) The Tax Benefits of Direct Indexing, And How They Are Affected by the Biden Tax Plan. SSRN Electronic Journal.
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Daniel McKeever & Kristian Rydqvist. (2021) Tax-Loss Harvesting Under Uncertainty. SSRN Electronic Journal.
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