Measuring Tax-Sensitive Institutional Investor Ownership

57 Pages Posted: 4 Aug 2016

See all articles by Jennifer Blouin

Jennifer Blouin

University of Pennsylvania - Accounting Department

Brian J. Bushee

University of Pennsylvania - The Wharton School

Stephanie A. Sikes

University of Pennsylvania - Accounting Department

Date Written: June 17, 2016

Abstract

We classify all institutional investors that file Form 13F 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.

Keywords: institutional investors, tax-sensitivity, capital gains taxes, portfolio performance

JEL Classification: G11, G20, H24

Suggested Citation

Blouin, Jennifer and Bushee, Brian J. and Sikes, Stephanie A., Measuring Tax-Sensitive Institutional Investor Ownership (June 17, 2016). Available at SSRN: https://ssrn.com/abstract=2817914

Jennifer Blouin

University of Pennsylvania - Accounting Department ( email )

1315 SHDH
3620 Locust Walk
Philadelphia, PA 19104-6365
United States
215-898-1266 (Phone)

Brian J. Bushee

University of Pennsylvania - The Wharton School ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States
215-898-4872 (Phone)
215-573-2054 (Fax)

Stephanie A. Sikes (Contact Author)

University of Pennsylvania - Accounting Department ( email )

3641 Locust Walk
Philadelphia, PA 19104-6365
United States

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