Alpha depends on return measurement horizon, particularly as the horizon becomes long. We introduce a procedure to estimate long-horizon alphas from short-horizon returns, and find that among those mutual funds with positive alphas estimated from monthly returns, nearly a third have negative alpha estimates when returns are measured at the ten-year horizon.
Using a novel empirical approach and newly available administrative data on U.S. tax filings, we estimate the corporate elasticity of taxable income, decompose the elasticity into economic responses versus other tax-motivated “accounting” transactions, and determine how responsiveness varies depending on accounting method, firm size, and interest rate.
Using tax data, we compare the investment behavior of public and private firms for a representative sample of all U.S. corporations. We find that while both types of firms invest similarly in physical capital, public firms out-invest private firms in R&D.