Quarterly Patterns in Momentum and Reversal in the U.S. Stock Market: The Consequences of Tax-Loss Sales and Window Dressing
Bibliographic record
Abstract
Active investment managers have strong incentives to simultaneously realize tax losses and window dress taxable portfolios at the end of each calendar quarter. As a result, stocks with capital losses experience negative abnormal returns during the third months of quarters. During the years after the passage of Tax Equity and Fiscal Responsibility Act in 1982, the lion’s share of returns of momentum strategies is earned in these stocks, and at the ends of calendar quarters. Since 1982, reversals of monthly returns appear only in the first months of quarters, and only at times when the aggregate value of capital losses is large. These turn-of-the-quarter patterns in momentum and reversals are now larger, after the IRS rules regarding taxes on capital gains have tightened, and they are strong in big and liquid stocks, as well as in small and illiquid stocks. The patterns indicate that momentum and reversal are due in part to institutional features of the stock market, including tax rules and reporting practices of active managers.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.005 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.002 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.000 | 0.001 |
| Insufficient payload (model declined to judge) | 0.002 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".