In April 2000, 30 stocks were replaced in the Nikkei 225 Index. The unusually broad index
redefinition allowed for a study of the effects of index-linked trading on the excess …

We examine the consequences of short selling in the context of quantitative investment
strategies held by individual investors in taxable accounts. Short positions not only allow …

… The reason the tax-aware CLS strategy did not realize a tax benefit as in Sialm and Sosner
(2018) is that we made the assumption that losses were carried forward. Sialm and Sosner …

An emerging body of empirical literature finds that institutions as a group are better investors
than an average market participant. One part of the literature finds that institutions as a …

Direct-indexing strategies realize tax benefits by harvesting losses on individual stock
positions. Some investors might benefit from this powerful tool for growing after-tax wealth …

For a taxable investor with a highly appreciated equity portfolio, replacing the portfolio
manager is likely to trigger substantial tax liabilities. We focus on transitioning an appreciated …

Successful entrepreneurs and executives often hold much of their wealth in a highly appreciated
single stock and thereby face a difficult financial dilemma. On the one hand, the high …

We show that trading causes excess comovement of stock returns. A simple model demonstrates
that upon inclusion into (deletion from) the index, stocks should begin to co-move more …

On average, net losses realized by direct indexing loss-harvesting strategies taper off within
the first few years after their inception. In our historical simulations, they reach a maximum …

While the benefits of capital gains management to the tax efficiency of investment strategies
have been extensively documented in the literature, evidence on the benefits of avoiding …