1st Quarter (2016)

Andrew Kalotay Volume 14, Number 1, 2016 As currently practiced, tax-loss selling of municipal bonds is typically an ad hoc year-end exercise. Under dynamic tax management the right to execute a tax-beneficial trade is considered to be a valuable option. Selling a bond and reinvesting in another entails swapping the associated tax options. The generalized… Read more

Daniel Bradley, Jonathan Clarke, Suzanne Lee and Chayawat Ornthanalai Volume 14, Number 1, 2016 Bradley et al. (BCLO, 2014) find evidence that the time stamps reported in I/B/E/S for analysts’ recommendations are systematically delayed giving the appearance that recommendations are uninformative.We review the findings of BCLO and extend their analyses along three dimensions. First, we… Read more

Bradford Cornell and Jason Hsu Volume 14, Number 1, 2016 The assumption that asset prices are determined by the efforts of end investors to maximize intertemporal utility supports a pricing theory that is both elegant and intuitive. Unfortunately, the assumption is counterfactual. End investors, with few exceptions, lack the capacity to behave in a fashion… Read more

Kenneth A. Blay and Harry M. Markowitz Volume 14, Number 1, 2016 The most prevalent methods of incorporating taxes into the portfolio construction process are the preliminary adjustment of asset allocation inputs for taxes and the post-optimization application of asset location heuristics. We argue that these methods are unsatisfactory in that they fail to address… Read more

Vineer Bhansali Volume 14, Number 1, 2016 I discuss ten common themes between non-investment related activities that shed practical and useful light on investing. While readers might not be familiar with these particular activities, I believe that combining analogies from any accumulated skill in intrinsically rewarding activities (also known as hobbies), with a disciplined analytical… Read more