Trading patterns and excess comovement of stock returns

RM Greenwood, N Sosner - Financial Analysts Journal, 2007 - Taylor & Francis
… Nathan Sosner is a research associate at AQR Capital Management, LLC, Greenwich, …
Consider a capital market that contains N + K risky securities in fixed supply. N of these securities …

Taxes, shorting, and active management

C Sialm, N Sosner - Financial Analysts Journal, 2018 - Taylor & Francis
We examine the consequences of short selling in the context of quantitative investment
strategies held by individual investors in taxable accounts. Short positions not only allow …

The Tax Benefits of Direct Indexing: Not a One-Size-Fits-All Formula

N Sosner, M Gromis, S Krasner - The Journal of Beta Investment …, 2022 - pm-research.com
… shorting (see, for example, Sialm and Sosner 2018). Prior research shows that such strategies
… Sialm and Sosner also explain the reason for this inverted relationship. … Nathan Sosner

Beyond Direct Indexing: Dynamic Direct Long-Short Investing

J Liberman, S Krasner, N Sosner… - Available at SSRN …, 2023 - papers.ssrn.com
… portfolio may help modify the economic exposures of a low-basis long-only portfolio (Sosner
contributions or via recognition of net gains and income within the partnership (see Sosner

Should taxable investors Shun dividends?

R Israel, J Liberman, N Sosner… - The Journal of Wealth …, 2019 - jwm.pm-research.com
While the benefits of capital gains management to the tax efficiency of investment strategies
have been extensively documented in the literature, evidence on the benefits of avoiding …

The Tax Benefits of Relaxing the Long-Only Constraint: Do They Come from Character or Deferral?

N Sosner, S Krasner, T Pyne - The Journal of Wealth Management …, 2019 - papers.ssrn.com
… Our methodology closely follows Siam and Sosner [2018] with one addition: We also
considered a strategy which is passive with respect to alpha but is actively tax managed. This …

Sources of institutional performance

B Kovtunenko, N Sosner - Available at SSRN 1132765, 2004 - papers.ssrn.com
… 1 Harvard University Department of Economics, Littauer Center, 1875 Cambridge Street,
Cambridge MA 02138, USA; Email kovtunen@fas.harvard.edu and sosner@fas.harvard.edu. …

[PDF][PDF] Where do betas come from

R Greenwood, N Sosner - Dis& cussion Paper, Harvard University, 2002 - Citeseer
… We assume a capital market that contains a risk-free security in perfectly elastic supply
and N+K risky securities in fixed supply paying uncertain liquidating dividends. N of these …

The Tax Benefits of Separating Alpha from Beta

J Liberman, C Sialm, N Sosner… - Financial Analysts Journal, 2020 - Taylor & Francis
… The reason the tax-aware CLS strategy did not realize a tax benefit as in Sialm and Sosner
(2018) is that we made the assumption that losses were carried forward. Sialm and Sosner

[PDF][PDF] Intrahousehold allocation of food in southern Ethiopia

A Kimhi, N Sosner - … Israel Development Research Programme. PO Box, 2000 - Citeseer
The purpose of this paper is to examine the patterns of intrahousehold food allocation among
rural families in Southern Ethiopia. Individual food sufficiency is measured by the total …