Tax-loss trading and wash sales

• 成果类型: Article
• 署名作者: Grinblatt, M; Keloharju, M
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research; Aalto University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00180-6
• 发表日期: 2004
• 页码: 51-76
• 关键词: January effect; tax-loss selling; wash sales; empirical anomalies; stock returns

摘要

Finnish investors realize losses more than gains toward the end of December. Moreover, they repurchase the same stocks recently sold. The repurchase rate depends on loss magnitude, firm size, and how late in the year the sale takes place. This trading pattern generates net tax-loss buying pressure that is negative prior to the turn of the year and positive afterward. Cross-sectional regressions indicate that stock returns around the turn of the year, particularly for small firms, are related to net tax-loss buying pressure but not to firm size per se. (C) 2003 Elsevier B.V. All rights reserved.