Tax-Loss Trading and Wash Sales

Mark Grinblatt and Matti Keloharju

No 8745, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G0 G1 (search for similar items in EconPapers)
Date: 2002-01
New Economics Papers: this item is included in nep-fmk
Note: AP PE
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Citations: View citations in EconPapers (1)

Published as Grinblatt, Mark & Keloharju, Matti, 2004. "Tax-loss trading and wash sales," Journal of Financial Economics, Elsevier, vol. 71(1), pages 51-76, January.

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Related works:
Journal Article: Tax-loss trading and wash sales (2004)
Working Paper: Tax Loss Trading and Wash Sales (2000)
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