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作者：Poterba, JM; Weisbenner, SJ
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Changes in the capital gains tax rules facing individual investors do not affect the incentives for window dressing by institutional investors, but they can affect the incentives for year-end tax-induced trading by individual investors. Empirical evidence for the 1963 to 1996 period suggests that when the tax law encouraged taxable investors who accrued losses early in the year to realize their losses before year-end, the correlation between early year losses and turn-of-the-year returns was w...
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作者：Xia, YH
作者单位：University of Pennsylvania
摘要：This paper examines the effects of uncertainty about the stock return predictability on optimal dynamic portfolio choice in a continuous time setting for a long-horizon investor. Uncertainty about the predictive relation affects the optimal portfolio choice through dynamic learning, and leads to a state-dependent relation between the optimal portfolio choice and the investment horizon. There is substantial market timing in the optimal hedge demands, which is caused by stochastic covariance bet...
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作者：Andersen, TG; Bollerslev, T; Das, A
作者单位：Northwestern University; Duke University; National Bureau of Economic Research
摘要：Variance-ratio tests are routinely employed to assess the Variation in return Volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high-frequency context. We develop improved inference procedures using a Fourier Flexible Form regression framework. The practical significance is illustrated through tests for changes in the FX intraday Volatility pattern following the removal of trading restrictions in Tokyo. Contrary t...
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作者：Baks, KP; Metrick, A; Wachter, J
作者单位：University of Pennsylvania; New York University
摘要：This paper analyzes mutual-fund performance from an investor's perspective. We study the portfolio-choice problem for a mean-variance investor choosing among a risk-free asset, index funds, and actively managed mutual funds. To solve this problem, we employ a Bayesian method of performance evaluation; a key innovation in our approach is the development of a flexible set of prior beliefs about managerial skill. We then apply our methodology to a sample of 1,437 mutual funds. We find that some e...
