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 alpha” with the use of historical data from the CRSP monthly database for the 500 securities with the largest market capitalizations from 1926 to 2018. Given long-term and short-term capital gains tax rates of 15% and 35%, respectively, we found that a tax-loss-harvesting strategy yielded a before-transaction-cost tax alpha of 1.08% per year for our sample period. When the strategy was constrained by the “wash sale rule,” the tax alpha decreased from 1.08% per year to 0.82% per year. Disclosure: The authors report no conflicts of interest. Editor’s Note This article was externally reviewed using our double-blind peer-review process. When the article was accepted for publication, the authors thanked the reviewers in their acknowledgments. Andrew Berkin and one anonymous reviewer were the reviewers for this article. Submitted 3 February 2020 Accepted 14 April 2020 by Stephen J. Brown

中文翻译：

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税收损失收获阿尔法的实证评估

与过去的此类策略相比，金融技术的进步使散户投资者的税收损失收获更加可行。我们使用 CRSP 月度数据库中 1926 年至 2018 年市值最大的 500 只证券的历史数据评估了这种“税收阿尔法”的幅度。鉴于长期和短期资本利得税率为 15%分别为 35% 和 35%，我们发现税收损失收集策略在我们的样本期间产生了每年 1.08% 的交易前成本税收阿尔法。当该策略受到“洗售规则”的约束时，税收阿尔法从每年 1.08% 下降到每年 0.82%。披露：作者报告没有利益冲突。编者注 本文使用我们的双盲同行评审流程进行了外部评审。当文章被接受发表时，作者在致谢中感谢审稿人。Andrew Berkin 和一位匿名审稿人是本文的审稿人。2020 年 2 月 3 日提交，斯蒂芬·J·布朗于 2020 年 4 月 14 日接受