Tax-Efficient Asset Management: Evidence from Equity Mutual Funds

• 成果类型: Article
• 署名作者: Sialm, Clemens; Zhang, Hanjiang
• 署名单位: University of Texas System; University of Texas Austin; National Bureau of Economic Research; Washington State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12843
• 发表日期: 2020
• 页码: 735-777
• 关键词: ALPHA BIG ENOUGH; performance; persistence; COSTS; FLOWS; valuation; Dividends; benefits; taxation; returns

摘要

We investigate the relation between tax burdens and mutual fund performance from both a theoretical and an empirical perspective. The theoretical model introduces heterogeneous tax clienteles in an environment with decreasing returns to scale and shows that the equilibrium performance of mutual funds depends on the size of the tax clienteles. Our empirical results show that the performance of U.S. equity mutual funds is related to their tax burdens. We find that tax-efficient funds exhibit not only superior after-tax performance, but also superior before-tax performance due to lower trading costs, favorable style exposures, and better selectivity.