IDEAS home Printed from https://ideas.repec.org/a/bla/acctfi/v59y2019is1p411-448.html
   My bibliography  Save this article

The effect of data availability in measuring fund managers’ after‐tax alphas

Author

Listed:
  • Zhe Chen
  • David R. Gallagher
  • Geoffrey J. Warren

Abstract

We examine potential sources of measurement error when evaluating the after‐tax performance of fund managers based on periodic snapshots of their holdings alone, compared with when daily transactions data are also available. To do this, we compare portfolio return estimates based on imputed trades from monthly, quarterly and semi‐annual snapshots with estimates that also incorporate daily trades for a sample of active institutional equity portfolios. This method allows us to directly measure the contribution of interim trading before tax, while more accurately estimating the tax effects associated with turnover through observing actual trade prices. Further, availability of both trade and holdings data permits the identification of how contributions and tax effects arise from income and capital gains sources, as well as how they vary across investment styles and market conditions.

Suggested Citation

  • Zhe Chen & David R. Gallagher & Geoffrey J. Warren, 2019. "The effect of data availability in measuring fund managers’ after‐tax alphas," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 411-448, April.
    • Handle: RePEc:bla:acctfi:v:59:y:2019:i:s1:p:411-448
    DOI: 10.1111/acfi.12254
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/acfi.12254
    Download Restriction: no
    File URL: https://libkey.io/10.1111/acfi.12254?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Zhe Chen & David R. Gallagher & Graham Harman & Geoffrey J. Warren & Lihui Xi, 2020. "How much does tax erode fund excess returns?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3407-3446, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:acctfi:v:59:y:2019:i:s1:p:411-448. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/aaanzea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.