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

DOI10.1016/S0304-405X(03)00176-4MaRDI QIDQ5455559zbMATH OpenOpenAlexFDO

Authors Mark Grinblatt, Tobias J. Moskowitz

Publication date 3 April 2008

Published in Journal of Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-405x(03)00176-4

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Stock return predictability despite low autocorrelation
• Stock-specific sentiment and return predictability
• Technical Trading Rules and the Size of the Risk Premium in Security Returns
• Perpetual learning and stock return predictability
• Predicting stock returns. Implications for asset pricing

Cited in

(12)

• A simple mechanism for financial bubbles: time-varying momentum horizon
• On the ``mementum of meme stocks
• Do emerging markets with consistent returns have better future performance?
• The influence of investor's behavioral biases on the usefulness of the dual moving average crossovers
• Leveraging a call-put ratio as a trading signal
• Black-Litterman model for continuous distributions
• Stock return predictability despite low autocorrelation
• Momentum and the cross-section of stock volatility
• Optimal dynamic momentum strategies
• Time series momentum trading strategy and autocorrelation amplification
• Time-varying economic dominance in financial markets: a bistable dynamics approach
• Predicting stock returns. Implications for asset pricing

This page was built for publication: Predicting stock price movements from past returns: the role of consistency and tax-loss selling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5455559)