Journal ArticleDOI
Investment Taxation and Portfolio Performance
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TLDR
The authors used the 1926 to 2002 Federal Tax code to generate tax-optimized after-tax returns that investors at different income levels would have realized on a set of benchmark portfolios, showing that for an investor at the 95% income level, the historical tax cost of holding SMB and HML is almost 3 and 17 times greater than the cost on the market premium.About:
This article is published in Journal of Public Economics.The article was published on 2013-01-01. It has received 28 citations till now. The article focuses on the topics: Investment (macroeconomics) & Portfolio.read more
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Fact, Fiction, and Value Investing
TL;DR: In this article, the authors highlight many points about value investing and attempt to prove or disprove each of them, referencing an extensive academic literature and performing simple tests based on easily accessible, industry-standard public data.
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The Impact of Taxation on Economic Growth: Case Study of OECD Countries
TL;DR: In this article, the authors evaluated the impact of individual types of taxes on the economic growth by utilizing regression analysis on the OECD countries for the period of 2000 - 2011, and concluded that tax quota, in this case as the indicator of taxation, fails.
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Fact, Fiction, and Value Investing
TL;DR: In this article, the authors aim to clarify the many remaining areas of confusion about value investing, focusing on the diversified systematic value strategy, but also exploring how this strategy relates to its more concentrated implementation.
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Fact, Fiction, and Momentum Investing
TL;DR: In this article, the authors highlight ten myths about momentum and refute them, using results from widely circulated academic papers and analysis from the simplest and best publicly available data, and they aim to clear up much of the confusion by documenting what we know and disproving many of the often-repeated myths.
Journal ArticleDOI
Fact, Fiction and Momentum Investing
TL;DR: In this paper, the authors highlight ten myths about momentum and refute them, using results from widely circulated academic papers and analysis from the simplest and best publicly available data, and they aim to clear up much of the confusion by documenting what we know and disproving many of the often-repeated myths.
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Journal ArticleDOI
Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
TL;DR: In this article, the authors show that strategies that buy stocks that have performed well in the past and sell stocks that had performed poorly in past years generate significant positive returns over 3- to 12-month holding periods.
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Large Shareholders and Corporate Control
Andrei Shleifer,Robert W. Vishny +1 more
TL;DR: In this article, the authors explore a model in which the presence of a large minority shareholder provides a partial solution to the free-rider problem in a corporation with many small owners, where the corporation may not pay any one of them to monitor the performance of the management.
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Dividend Policy, Growth, and the Valuation of Shares
TL;DR: In this paper, the effect of differences in dividend policy on the current price of shares in an ideal economy characterized by perfect capital markets, rational behavior, and perfect certainty is examined.
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THE EQUITY PREMIUM A Puzzle
Rajnish Mehra,Edward C. Prescott +1 more
TL;DR: This paper showed that an equilibrium model which is not an Arrow-Debreu economy will be the one that simultaneously rationalizes both historically observed large average equity return and the small average risk-free return.