We show that the concentration of loss realizations in December is not consistent with fully rational behavior, but is consistent with our theory
2012
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- We would like to acknowledge the helpful remarks made on earlier versions by Peter Bernstein, Fischer Black, Ben Branch, Ivan Brick, Werner De Bondt, Edward Dyl, Avner Kalay, Seymour Smidt, and Richard Thaler
- Special thanks go to George Constantinides whose incisive discussion led to major improvements that are reflected in this version of the paper
- We discuss evidence which suggests that tax considerations alone cannot explain the observed patterns of loss and gain realization, and that the patterns are consistent with a combined effect of tax considerations and the three other elements of our framework
- We show that the concentration of loss realizations in December is not consistent with fully rational behavior, but is consistent with our theory
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