This paper employs heterogeneity in institutional shareholder tax characteristics to identify the relation between firm payout policy and tax incentives. Analysis of a panel of firms matched with the tax characteristics of the clients of their institutional shareholders indicates that...

We show that new managers who take over mutual fund portfolios sell off inherited momentum losers at higher rates than stocks in any other momentum decile, even after adjusting for concurrent trades in these stocks by continuing fund managers. This behavior is observed regardless of fund...

We examine the effect of personal taxes on CEOs’ decisions to sell their equity, controlling for diversification, managerial overconfidence, and other determinants. While CEOs frequently sell large amounts of their unrestricted firm equity, the tax burden associated with the sale significantly...

Morck, Yeung and Yu show that R2 is higher in countries with less developed financial systems and poorer corporate governance. We show how control rights and information affect the division of risk bearing between managers and investors. Lack of transparency increases R2 by shifting...

I study whether the capital gains tax is an impediment to selling by some investors and if so, to what degree associated delayed selling affects stock prices. I find that selling decisions by institutions serving tax-sensitive clients are sensitive to cumulative capital gains, a pattern not...

Purpose - To find out if the beta from the capital asset pricing model (CAPM) accurately measures the systematic equity risk of a firm's pension funds. Design/methodology/approach -Takes 4,453 observations of equity beta using the market model on weekly return data for up to one year from 1993...

This paper examines the relation between chief executive officers’ (CEOs’) incentive levels and their firms’ risk characteristics. I show theoretically that, when CEOs cannot trade the market portfolio, optimal incentive level decreases with firm's nonsystematic risk but is ambiguously...

Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction of market participants who own a stock) predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23% per year....

Most of the economic analyses of the overseas Chinese network focus on trade and investment flows at the country level. In this paper, we analyze the effects of the ethnic Chinese network at the firm level. Contrary to the conventional wisdom, we find that ethnic Chinese FDI firms in China in...

This paper examines the trajectory of pay-performance-sensitivity (PPS) in the years immediately after chief executive officers (CEOs) assume their positions. We show that PPS “steady state equilibrium” is not achieved overnight, but instead evolves through a process whereby CEO incentives...