The Accounting Review, November 2017, Vol. 92, No. 6, pp. 49-76.

衡量税收敏感型机构投资者的所有权

作者：Jennifer L. Blouin (University of Pennsylvania, USA), Brian J. Bushee (University of Pennsylvania, USA), Stephanie A. Sikes (University of Pennsylvania, USA)

摘要

基于交易行为和投资组合特征，我们将在1995 - 2013年间提交13-F表格的所有机构投资者分为“税收敏感型”或“税收非敏感型”。我们研究了税收敏感型投资者对投资组合调整、价格压力和基金绩效的影响，并将我们采用的税收敏感型机构投资者所有权的测度和之前研究所采用的三种测度进行比较。我们发现，对投资组合调整和价格压力检验时，我们的税收敏感型投资者的测度优于其他测度。对基金绩效检验时，我们的测度是唯一一个发现税收敏感型投资者投资组合中的股票回报率显著较低，这是学术文献中的一个全新结果。

Measuring Tax-Sensitive Institutional Investor Ownership

Jennifer L. Blouin (University of Pennsylvania, USA), Brian J. Bushee (University of Pennsylvania, USA), Stephanie A. Sikes (University of Pennsylvania, USA)

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.

原文链接：http://www.aaajournals.org/doi/pdf/10.2308/accr-51718

翻译：阙江静