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The Tax-Timing Option and the Discounts on Closed-End Investment Companies
14 references·15 citing·39 second hop
The Tax-Timing Option and the Discounts on Closed-End Investment Companies (1991)The Tax-Timing Option and the Discounts o…Theory of rational option pricing (2005)Theory of rational option pri…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatil…Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Mutual Fund Performance: An A…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Dividend yields and expected stock returns (1988)Dividend yields and expected …Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns (1985)Lifting the Lid on Closed-End…Optimal bond trading with personal taxes (1984)Optimal bond trading with per…Capital Market Equilibrium with Personal Tax (1983)Capital Market Equilibrium wi…The information content of discounts and premiums on closed-end fund shares (1978)The information content of di…THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES (1977)THE VALUATION OF CLOSED‐END I…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Why Do Closed-End Bond Funds Exist? An Additional Explanation for the Growth in Domestic Closed-End Bond Funds (2013)Why Do Closed-End Bond Funds …Portfolio Pumping, Trading Activity and Fund Performance (2012)Portfolio Pumping, Trading Ac…The Pricing of Accruals Quality: January versus the Rest of the Year (2011)The Pricing of Accruals Quali…Dividend distributions and closed-end fund discounts (2011)Dividend distributions and cl…Pyramidal Discounts: Tunneling or Overinvestment?* (2009)Pyramidal Discounts: Tunnelin…The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium (2008)The Secondary Market for Hedg…On the Information Uncertainty Risk and the January Effect* (2006)On the Information Uncertaint…The Closed-End Fund Discount (2002)The Closed-End Fund DiscountTaxation, Risk-Taking, and Household Portfolio Behavior**I am grateful to Alan Auerbach, Scott Weisbenner, and participants at the Burch Center Symposium for helpful comments, to Andrew Mitrusi for providing me with data from TAXSIM, and to the Hoover Institution and National Science Foundation for research support. (2002)Taxation, Risk-Taking, and Ho…Agency Conflicts in Closed-End Funds: The Case of Rights Offerings (2002)Agency Conflicts in Closed-En…Closed-End Fund Discounts with Informed Ownership Differential (2001)Closed-End Fund Discounts wit…JANUARY RETURN SEASONALITY IN REAL ESTATE INVESTMENT TRUSTS: INFORMATION VS. TAX‐LOSS SELLING EFFECTS (1997)JANUARY RETURN SEASONALITY IN…INVESTOR TAX‐TRADING OPPORTUNITIES AND DISCOUNTS ON CLOSED‐END MUTUAL FUNDS (1994)INVESTOR TAX‐TRADING OPPORTUN…How Do Taxes Affect Investors' Stock Market Realizations? Evidence from Tax-Return Panel Data (1994)How Do Taxes Affect Investors…?Investor sentiment? and the closed-end fund puzzle: A 7 percent solution (1993)?Investor sentiment? and the …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Optimal Consumption and Investment with Capital Gains Taxes (2001)Prospect Theory and the Disposition Effect (2010)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Expected stock returns and volatility (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Efficient Capital Markets: II (1991)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)
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References

  • 2005Theory of rational option pricing7,161 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
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  • 1989Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings1,349 cited
  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
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  • 1977THE VALUATION OF CLOSED‐END INVESTMENT‐COMPANY SHARES372 cited
  • 1984Optimal bond trading with personal taxes265 cited
  • 1978The information content of discounts and premiums on closed-end fund shares207 cited
  • 1985Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns140 cited

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  • 2008The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium64 cited

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  • 2012Portfolio Pumping, Trading Activity and Fund Performance58 cited
  • 2011The Pricing of Accruals Quality: January versus the Rest of the Year41 cited
  • 2001Closed-End Fund Discounts with Informed Ownership Differential41 cited
  • 2009Pyramidal Discounts: Tunneling or Overinvestment?*40 cited
  • 1994How Do Taxes Affect Investors' Stock Market Realizations? Evidence from Tax-Return Panel Data39 cited
  • 2006On the Information Uncertainty Risk and the January Effect*37 cited
  • 2013Why Do Closed-End Bond Funds Exist? An Additional Explanation for the Growth in Domestic Closed-End Bond Funds36 cited
  • 2002The Closed-End Fund Discount36 cited
  • 1994INVESTOR TAX‐TRADING OPPORTUNITIES AND DISCOUNTS ON CLOSED‐END MUTUAL FUNDS34 cited
  • 1993?Investor sentiment? and the closed-end fund puzzle: A 7 percent solution33 cited
  • 2002Taxation, Risk-Taking, and Household Portfolio Behavior**I am grateful to Alan Auerbach, Scott Weisbenner, and participants at the Burch Center Symposium for helpful comments, to Andrew Mitrusi for providing me with data from TAXSIM, and to the Hoover Institution and National Science Foundation for research support.32 cited
  • 2002Agency Conflicts in Closed-End Funds: The Case of Rights Offerings30 cited
  • 2011Dividend distributions and closed-end fund discounts29 cited
  • 1997JANUARY RETURN SEASONALITY IN REAL ESTATE INVESTMENT TRUSTS: INFORMATION VS. TAX‐LOSS SELLING EFFECTS27 cited