TY  - JOUR
AU  - Grinblatt,Mark
AU  - Keloharju,Matti
TI  - Tax-Loss Trading and Wash Sales
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8745
PY  - 2002
Y2  - January 2002
UR  - http://www.nber.org/papers/w8745
L1  - http://www.nber.org/papers/w8745.pdf
N1  - Author contact info:
Mark Grinblatt
UCLA
Anderson Graduate School of Management
110 Westwood Plaza, Box 951481
Los Angeles, CA  90095-1481
Tel: 310/825-1098
Fax: 310/206-5455
E-Mail: mark.grinblatt@anderson.ucla.edu

Matti Keloharju
Helsinki School of Economics
P.O. Box 1210
00101 Helsinki
Finland 
E-Mail: matti.keloharju@hse.fi
AB  - 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.
ER  -