Measuring Tax-Sensitive Institutional Investor Ownership

Measuring Tax-Sensitive Institutional Investor Ownership
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衡量税收敏感的机构投资者所有权

DOI：
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
Stephanie A. Sikes
Stephanie A. Sikes
中科院分区：
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文献类型：
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作者：
Jennifer L. Blouin;Brian J. Bushee;Stephanie A. Sikes

文献摘要

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摘要：我们根据机构投资者的交易行为和投资组合特征，将1995-2013年期间提交13-F表格的机构投资者分为“税收敏感型”和“税收不敏感型”。我们检验了投资者税收敏感性对投资组合再平衡、价格压力和基金绩效影响的测试，并将我们对税收敏感的机构投资者所有权的衡量标准与先前研究中使用的三种衡量标准进行了比较。我们表明，在投资组合再平衡和价格压力测试中，我们对税收敏感投资者的衡量标准主导了其他衡量标准。在基金绩效检验中，我们的税收敏感性度量是唯一发现税收敏感投资者的投资组合股票收益显著降低的度量，这是文献中的新结果。JEL分类：G11；20国集团(G20);H24。
ABSTRACT: 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. JEL Classifications: G11; G20; H24.