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Taxation, 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.
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Taxation, 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 Household Port…What Makes Investors Trade? (2001)What Makes Investors Trade?A Theory of Dividends Based on Tax Clienteles (2000)A Theory of Dividends Based o…Are Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…Another Puzzle: The Growth in Actively Managed Mutual Funds (1996)Another Puzzle: The Growth in…Why do so Few Hold Stocks? (1995)Why do so Few Hold Stocks?Sticking it Out: Entrepreneurial Survival and Liquidity Constraints (1994)Sticking it Out: Entrepreneur…Sticking it Out: Entrepreneurial Survival and Liquidity Constraints (1993)Sticking it Out: Entrepreneur…An Introduction to the TAXSIM Model (1993)An Introduction to the TAXSIM…Long-Run Policy Analysis and Long-Run Growth (1991)Long-Run Policy Analysis and …Public Policy and Economic Growth: Developing Neoclassical Implications (1990)Public Policy and Economic Gr…The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …DEBT AND TAXES* (1977)DEBT AND TAXES*The Dividend Puzzle (1976)The Dividend PuzzleTAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY (1970)TAXES, MARKET VALUATION AND C…Marginal Stockholder Tax Rates and the Clientele Effect (1970)Marginal Stockholder Tax Rate…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)Risk, Return, and Equilibrium: Empirical Tests (1973)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)On the mechanics of economic development (1988)Finance, entrepreneurship and growth (1993)The Origins of Endogenous Growth (1994)Growth Empirics: A Panel Data Approach (1995)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses (2000)Mutual Fund Flows and Performance in Rational Markets (2004)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Asset pricing and the bid-ask spread (1986)Theory of Financial Decision Making. (1988)The cost of capital, corporation finance and the theory of investment (2008)The Dynamic Effects of Personal and Corporate Income Tax Changes in the United States (2013)Prospect Theory: An Analysis of Decision under Risk (1979)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Prospect theory, mental accounting, and momentum (2005)Do Retail Trades Move Markets? (2008)Individual Investor Trading and Stock Returns (2008)Gender Differences in the Allocation of Assets in Retirement Savings Plans (1998)Strategic Asset Allocation (2002)Down or Out: Assessing the Welfare Costs of Household Investment Mistakes (2007)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)Noise (1986)Financial flexibility and the choice between dividends and stock repurchases (2000)A Catering Theory of Dividends (2004)Investor Psychology and Asset Pricing (2001)
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References

  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 1991Long-Run Policy Analysis and Long-Run Growth3,318 cited
  • 1977DEBT AND TAXES*2,896 cited
  • 1996Another Puzzle: The Growth in Actively Managed Mutual Funds2,093 cited
  • 2001What Makes Investors Trade?1,296 cited
  • 1976The Dividend Puzzle1,235 cited
  • 1979The effect of personal taxes and dividends on capital asset prices1,212 cited
  • 1995Why do so Few Hold Stocks?1,078 cited
  • 1993An Introduction to the TAXSIM Model1,002 cited
  • 1993Sticking it Out: Entrepreneurial Survival and Liquidity Constraints893 cited
  • 1990Public Policy and Economic Growth: Developing Neoclassical Implications893 cited
  • 1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited
  • 1994Sticking it Out: Entrepreneurial Survival and Liquidity Constraints882 cited
  • 2000A Theory of Dividends Based on Tax Clienteles857 cited
  • 1970TAXES, MARKET VALUATION AND CORPORATE FINANCIAL POLICY

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