This paper provides direct evidence supporting the tax-loss selling hypothesis as an explanation of the January effect. Examining turn-of-the-year return and volume patterns for municipal bond closed-end funds, which are held mostly by tax-sensitive individual investors, we document a January...

Smith and Swan (2013), referred to as SS, question the robustness of the results of Hartzell and Starks (2003), referred to as HS. We discuss the fact that they have to make two significant and unwarranted changes to our model specifications in order to remove the significance of the HS results....

The fiduciary relationship between portfolio managers and the investors they represent may be viewed as a principal-agent relationship, and therefore we have used the methodology from the agency literature in economics and finance to study the impact of existing compensation arrangements on the...

Although the relation between quarterly changes in institutional investor ownership and contemporaneous stock returns is well documented, the source of the relation remains unclear because institutional ownership data are unavailable at higher frequencies. In this study, we develop a method to...