Working Paper: NBER ID: w8745
Authors: Mark Grinblatt; Matti Keloharju
Abstract: An analysis of trades in the Finnish stock market around the turn of the year shows that Finnish investors tend to realize losses more than gains towards the end of December. They also buy back the same stocks they recently sold, with a repurchase rate that depends on the size of the capital loss and how close the sale is to the end of December. The resulting net buying pressure from these 'wash sale' repurchases is greater for stocks with small market capitalizations and has a calendar pattern that is similar to that of stock returns.
Keywords: No keywords provided
JEL Codes: G0; G1
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| capital loss size (G32) | repurchase rates (E43) |
| timing of sales (C41) | tax-loss motivations (H32) |
| tax-loss selling (G33) | net buying pressure for smaller market capitalization stocks (G24) |
| capital losses (G32) | trading volume patterns (C69) |
| tax-loss motivations (H32) | realized losses ratio (G33) |