Predicting stock price movements from past returns: the role of consistency and tax-loss selling

• 成果类型: Article
• 署名作者: Grinblatt, M; Moskowitz, TJ
• 署名单位: University of Chicago; National Bureau of Economic Research; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00176-4
• 发表日期: 2004
• 页码: 541-579
• 关键词: Market efficiency; return autocorrelation; momentum; tax-loss trading

摘要

The consistency of positive past returns and tax-loss selling significantly affects the relation between past returns and the cross-section of expected returns. Analysis of these additional effects across stock characteristics, seasons, and tax regimes provides clues about the sources of temporal relations in stock returns, pointing to potential explanations for this relation. A parsimonious trading rule generates surprisingly large economic returns despite controls for confounding sources of return premia, microstructure effects, and data snooping biases. (C) 2003 Elsevier B.V. All rights reserved.