search query: @author Grinblatt, M. / total: 15
reference: 2 / 15
| Author: | Grinblatt, M. Keloharju, M. |
| Title: | Tax-loss trading and wash sales |
| Journal: | Journal of Financial Economics
2004 : JAN, VOL. 71:1, p. 51-76 |
| Index terms: | Stock returns Taxation |
| Freeterms: | Wash sales |
| Language: | eng |
| Abstract: | Toward the end of December, Finnish investors realize more losses than gains. Moreover, the investors purchase the same stocks that they recently sold. Loss magnitude, company size and how late in the year the sale takes place all affect the repurchase rate. Net tax-loss buying pressure is generated by this trading pattern, and it negative prior to the turn of the year and positive afterward. It is indicated by cross-sectional regressions that stock returns around the turn of the year, in particular for small companies, are related to net tax-loss buying pressure but not to company size per se. |
SCIMA