The Accounting Review Vol. 92 No. 6 2017
Measuring Tax-Sensitive Institutional Investor Ownership
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.
- DOI
- 10.2308/accr-51719
- Volume
- 92
- Issue
- 6
- Pages
- 49-76
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref