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- Title
Tax Calendar Effects in the Municipal Bond Market: Tax-Loss Selling and Cherry Picking by Investors and Market Timing by Fund Managers.
- Authors
Chen, Haiwei; Estes, Jim; Ngo, Thanh
- Abstract
Examining municipal bond returns, bond fund flows and buying activities by fund managers over the period 1990-2009, we find evidence of tax calendar-related rational opportunistic trading patterns by fund investors and fund managers. Specifically, fund shareholders conduct tax-loss selling in December and re-invest in January. In April, June, and September, fund investors rationally cherry pick to sell their shares of short-term bond funds instead of their shares of long-term bond funds to raise cash to pay estimated taxes. Unlike fund shareholders, fund managers adopt a contrarian strategy of buying in December and selling in January.
- Subjects
MUNICIPAL bonds; MARKET timing; PORTFOLIO management (Investments); STOCKHOLDERS; SELLING; STOCKS (Finance); EXECUTIVES
- Publication
Financial Review, 2011, Vol 46, Issue 4, p703
- ISSN
0732-8516
- Publication type
Article
- DOI
10.1111/j.1540-6288.2011.00317.x