Capital gains tax can impose a potentially large cost on investors selling stocks. This cost can sometimes be an order of magnitude larger than conventional transaction costs. This paper addresses the question of whether capital gains tax serves as an impediment to selling and if so, to what...

We document the empirical properties of a sample of 1,765 funds in the TASS Hedge Fund database from 1994 to 2004 that are no longer active. The TASS sample shows that attrition rates differ significantly across investment styles, from a low of 5.2% per year on average for convertible arbitrage...

I use a sample of socially responsible stock mutual funds matched to randomly selected conventional funds of similar net assets to investigate differences in characteristics of assets held, portfolio diversification, and variable effects of diversification on investment performance. I find that...

This study investigates whether the widely documented daily correlated trading volume of stocks is driven by individual investor trading, institutional trading, or both. We find that at least 95 percent of NYSE and AMEX stocks exhibit statistically significant, positive serial correlation....

This study provides evidence that links institutional tradingbehavior directly to anomalous turn-of-the-year (TOY) returnpatterns of small stocks. We find that TOY trading patterns ofinstitutions reflect strategies that are generally consistent with window-dressing and risk-shifting behaviors....

If the seller of a Treasury bill does not provide timely and correct delivery instructions to the clearing bank, the bank does not deliver the security. Furthermore, the seller is not paid until this quot;failed deliveryquot; is rectified. Since the purchase price is not changed, these...

Rating-dependent financial regulators assume that the same letter ratings from different agencies imply the same levels of default risk. Most quot;thirdquot; agencies, however, assign significantly higher ratings on average than Moody's and Standard amp; Poor's. We show that, contrary to the...