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

437 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

The Role of Shorting, Firm Size, and Time on Market Anomalies (2013, methodology): “As Table A3 in the Appendix shows, removing the period 1980 to 1996 from the Grinblatt and Moskowitz (2004) sample (which is 1963 to 1999), we no longer find this result in their sample and we do not find it in the longer sample from 1927 to 2011.”
Is momentum really momentum (2012, methodology): “It is not explained by the 12 month effect identified by Jegadeesh (1990) and studied in detail by Heston and Sadka (2008). It is robust to controlling for earnings momentum, which explains short horizon momentum but not intermediate horizon momentum.”
Fact, Fiction, and Momentum Investing (2014, neutral): “Grinblatt and Moskowitz [2004]. Chan et al.”
The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (2010, positive): “Grinblatt and Moskowitz (2004) demonstrate the effects of return consistency, that is, they claim that momentum profits depend on whether returns were achieved in a steady way, or due to a few unusual months.”
The Long-Lasting Momentum in Weekly Returns (2008, background): “Grinblatt and Moskowitz (2004) select proportions of periods that have roughly 10% probability under a binomial distribution assuming 0.5 probability of positive and nonpositive returns each period (or negative and nonnegative).”