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Tax-Efficient Asset Management: Evidence from Equity Mutual Funds
16 references·1 citing·33 second hop
Tax-Efficient Asset Management: Evidence from Equity Mutual Funds (2013)Tax-Efficient Asset Management: Evidence …What Do Consumers’ Fund Flows Maximize? Evidence from Their Brokers’ Incentives (2012)What Do Consumers’ Fund Flows…Payoff complementarities and financial fragility: Evidence from mutual fund outflows (2010)Payoff complementarities and …Mutual Fund Incubation (2010)Mutual Fund IncubationAssessing the Costs and Benefits of Brokers in the Mutual Fund Industry (2009)Assessing the Costs and Benef…Presidential Address: The Cost of Active Investing (2008)Presidential Address: The Cos…Liquidity Risk and Expected Stock Returns (2001)Liquidity Risk and Expected S…Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Performance: An E…Investor flows and the assessed performance of open-end mutual funds (1999)Investor flows and the assess…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks (1997)Measuring Mutual Fund Perform…Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Hot Hands in Mutual Funds: Sh…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…An Introduction to the TAXSIM Model (1993)An Introduction to the TAXSIM…The Persistence of Mutual Fund Performance (1992)The Persistence of Mutual Fun…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…On the Tax Efficiency of Startup Firms (2017)On the Tax Efficiency of Star…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings (1989)Performance Persistence (1995)Career Concerns of Mutual Fund Managers (1999)Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability (1999)Efficient Capital Markets: II (1991)Breadth of ownership and stock returns (2002)The market for borrowing stock (2002)The Small World of Investing: Board Connections and Mutual Fund Returns (2008)The Behavior of Stock-Market Prices (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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Stock price synchronicity, crash risk, and institutional investors (2013)The Behavior of Individual Investors (2013)It Depends on Where You Search: Institutional Investor Attention and Underreaction to News (2017)The elasticity of taxable income: evidence and implications (2002)Attitudes toward Highly Skilled and Low-skilled Immigration: Evidence from a Survey Experiment (2010)The fading American dream: Trends in absolute income mobility since 1940 (2017)Mutual Fund Flows and Performance in Rational Markets (2002)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Capital markets research in accounting (2001)The Cross‐Section of Volatility and Expected Returns (2006)In Search of Attention (2011)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1997Measuring Mutual Fund Performance with Characteristic‐Based Benchmarks2,844 cited
  • 2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses1,854 cited
  • 1993Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-19881,219 cited
  • 1992The Persistence of Mutual Fund Performance1,040 cited
  • 1993An Introduction to the TAXSIM Model1,002 cited
  • 2008Presidential Address: The Cost of Active Investing862 cited
  • 2001Liquidity Risk and Expected Stock Returns738 cited
  • 1999Investor flows and the assessed performance of open-end mutual funds731 cited
  • 2010Mutual Fund Incubation709 cited
  • 2010Payoff complementarities and financial fragility: Evidence from mutual fund outflows702 cited
  • 2009Assessing the Costs and Benefits of Brokers in the Mutual Fund Industry

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604 cited
  • 2012What Do Consumers’ Fund Flows Maximize? Evidence from Their Brokers’ Incentives295 cited
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    • 2017On the Tax Efficiency of Startup Firms17 cited