PT  - JOURNAL ARTICLE
AU  - Ben Davis
AU  - Tianchuan Li
AU  - Vassilii Nemtchinov
TI  - Beware the Bounce: Tax-Loss Harvesting during a Stock Market Crash
AID  - 10.3905/jbis.2022.1.007
DP  - 2022 May 19
TA  - The Journal of Beta Investment Strategies
PG  - 62--74
VI  - 13
IP  - 2
4099  - https://pm-research.com/content/13/2/62.short
4100  - https://pm-research.com/content/13/2/62.full
AB  - We compare three different approaches to mitigating post-crash underperformance risk associated with tax-loss harvesting strategies: a stock-bounds approach, a risk model approach, and an enhanced risk model approach, adding extra controls on factors associated with reversal risk. We analyze the reversal risk by conducting a comprehensive sweep, evaluating the performance of 60,000 realistically simulated accounts over the past 25 years, and quantifying the extent of pre-tax underperformance during the most stressful periods for index tracking.