Open-end mutual funds and capital-gains taxes

• 成果类型: Article
• 署名作者: Barclay, MJ; Pearson, ND; Weisbach, MS
• 署名单位: University of Rochester; University of Illinois System; University of Illinois Urbana-Champaign; University of Arizona
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(98)00016-6
• 发表日期: 1998
• 页码: 3-43
• 关键词: mutual funds; capital-gains taxes

摘要

Despite the fact that taxable investors would prefer to defer the realization of capital gains indefinitely, most open-end mutual funds regularly realize and distribute a large portion of their gains. We present a model in which unrealized gains in the fund's portfolio increase expected future taxable distributions, and thus increase the present value of a new investor's tax liability. In equilibrium, managers interested in attracting new investors pass through taxable capital gains to reduce the overhang of unrealized gains. This model contains a number of empirical predictions that are consistent with data on actual fund overhangs. (C) 1998 Elsevier Science S.A. All rights reserved.