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The Persistence of Individual and Corporate Capital Gains and Losses

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  • Bull, Nicholas
  • Cilke, James
  • Giosa, Christopher P.
  • Larson, C. Erik

Abstract

We show that, for both individuals and corporations, there is an aggregate overhang of realized losses that can be expected to have persistent effects. At the taxpayer level, we use panel data to show that the transition probabilities between taxpayers' states of capital realizations—losses, gains, or zero—do not meet the restrictions required for them to be modeled as following a simple time–homogeneous Markov process. Further, a simple Markov model built around the long–term transition probabilities would be too persistent to match short–term transitions. We show that the summary statistics we consider are closely comparable between cohort panels and panels constructed from the overlap of annual cross–sectional data.

Suggested Citation

  • Bull, Nicholas & Cilke, James & Giosa, Christopher P. & Larson, C. Erik, 2004. "The Persistence of Individual and Corporate Capital Gains and Losses," National Tax Journal, National Tax Association;National Tax Journal, vol. 57(3), pages 525-545, September.
    • Handle: RePEc:ntj:journl:v:57:y:2004:i:3:p:525-45
    DOI: 10.17310/ntj.2004.3.02
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    Cited by:

    1. Laura Wegener, 2017. "Strukturelle Unterschiede zwischen positiven und negativen Einkünften – eine Untersuchung der einkommensteuerlichen Verlusteinkunftsarten Gewerbebetrieb sowie Vermietung und Verpachtung auf Basis des ," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 11(3), pages 177-204, December.

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