Window-Dressing, Tax-Loss Selling, and Momentum Profit Seasonality
Preprint
- 1 January 2006
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
The success of momentum strategies over the past 20 years is predominately driven by the last month in each quarter. Excluding Januaries (a month in which lag lKeywords
This publication has 12 references indexed in Scilit:
- The January EffectCFA Magazine, 2006
- Tax-Motivated Trading by Individual InvestorsAmerican Economic Review, 2005
- Quarterly Trading Patterns of Financial InstitutionsThe Journal of Business, 2004
- Predicting stock price movements from past returns: the role of consistency and tax-loss sellingJournal of Financial Economics, 2004
- Profitability of Momentum Strategies: An Evaluation of Alternative ExplanationsThe Journal of Finance, 2001
- Institutional Investors and Equity PricesThe Quarterly Journal of Economics, 2001
- Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year ReturnsThe Journal of Finance, 2001
- Investment Decisions Depend on Portfolio DisclosuresThe Journal of Finance, 1999
- Returns to Buying Winners and Selling Losers: Implications for Stock Market EfficiencyThe Journal of Finance, 1993
- Stock return seasonalities and the tax-loss selling hypothesisJournal of Financial Economics, 1983