Measuring Tax-Sensitive Institutional Investor Ownership
基于1995-2013年13-F文件数据，将机构投资者分为税收敏感与不敏感两类，发现新指标在投资组合再平衡和价格压力测试中优于旧指标，且税收敏感投资者持有股票回报显著更低。
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.