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

Article Abstract:

The effect of a number of past return-related variables on the future returns in individual stocks is examined. The importance of seasonalities associated with past returns and the degree to which tax-loss trading plays a role in past return predictability is presented.

Stock price indexes, Return on investment, Rate of return

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Prospect theory, mental accounting, and momentum

Article Abstract:

Many asset pricing anomalies can be explained by mental accounting and prospect theory frameworks. The intention behind momentum existing in the cross section of stock returns is explained by this paper model of equilibrium asset prices.

Asset-backed securities, Asset backed securities, Angular momentum

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Tax-loss trading and wash sales

Article Abstract:

Towards the end of December, the Finnish investors realize losses more than gains and repurchase the recently sold stock. The repurchase rate depends on loss magnitude, firm size, and the period.

Taxes, Taxation, Securities trading, Investment management

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