Feng Chen (Columbia University Business School), Arthur G. Kraft (London Business School) & Ira S. Weiss (University of Chicago, Graduate School of Business; Columbia Business School, Department of Accounting) have posted Tax Planning by Mutual Funds: Evidence from Changes in the Capital Gains Tax Rate on SSRN.  Here is the abstract:

We investigate whether mutual funds engage in tax planning by testing how they respond to changes in the capital gains tax rates. While previous evidence suggests that individual investors time capital gains realizations (Auerbach, 1988), we might not expect open-end mutual funds to tax plan like individuals because fund managers have incentives to consider the tax liability of both current and potential investors. Our question is, conditional on balancing the interests of these two groups of investors, do mutual funds time their capital gains realizations to decrease taxes. Our analysis spans over forty-four years, and six major tax changes, allowing us to examine the effect of both tax rate increases and decreases. Overall, we find evidence consistent with tax planning, and that managers appear to be more responsive to tax rate decreases than tax rate increases.