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

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Author Info
Grinblatt, Mark
Moskowitz, Tobias J.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VBX-4997TP4-6/2/152d879f4a29d583e9c45ae28fe460a2
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 71 (2004)
Issue (Month): 3 (March)
Pages: 541-579
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Handle: RePEc:eee:jfinec:v:71:y:2004:i:3:p:541-579

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Zoran Ivković & James Poterba & Scott Weisbenner, 2005. "Tax-Motivated Trading by Individual Investors," American Economic Review, American Economic Association, vol. 95(5), pages 1605-1630, December. [Downloadable!]
    Other versions:
  2. Benjamin Chabot & Eric Ghysels & Ravi Jagannathan, 2008. "Price Momentum In Stocks: Insights From Victorian Age Data," NBER Working Papers 14500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. David Rey & Markus Schmid, 2007. "Feasible momentum strategies: Evidence from the Swiss stock market," Financial Markets and Portfolio Management, Springer, vol. 21(3), pages 325-352, September. [Downloadable!] (restricted)
  4. Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2008. "A Behavioural Approach To Financial Puzzles," Working Papers of LaRGE (Laboratoire de Recherche en Gestion et Economie) 2008-01, Laboratoire de Recherche en Gestion et Economie, Université de Strasbourg (France). [Downloadable!]
  5. Laura Frieder & Avanidhar Subrahmanyam, 2001. "Brand Perceptions and the Market for Common Stock," University of California at Los Angeles, Anderson Graduate School of Management 1016, Anderson Graduate School of Management, UCLA. [Downloadable!]
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