Measuring Tax-Sensitive Institutional Investor Ownership

• 成果类型: Article
• 署名作者: Blouin, Jennifer L.; Bushee, Brian J.; Sikes, Stephanie A.
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51719
• 发表日期: 2017
• 页码: 49-76
• 关键词: capital-gains taxes; taxpayer relief act; lock-in; shareholder taxes; PRICE PRESSURE; rate reduction; Mutual funds; returns; taxation; STOCK

摘要

We classify all institutional investors that file Form 13-F over the period 1995-2013 as either tax-sensitive or tax-insensitive based on their trading behavior and portfolio characteristics. We examine tests of the effects of investor tax-sensitivity on portfolio rebalancing, price pressure, and fund performance, and compare our measure of tax-sensitive institutional investor ownership to three measures used in prior studies. We show that our measure of tax-sensitive investors dominates other measures in the portfolio rebalancing and price pressure tests. In the fund performance test, our measure of tax-sensitivity is the only one that finds that tax-sensitive investors have significantly lower returns on their portfolio stocks, which is a new result in the literature.