Long‐Term Return Reversals: Overreaction or Taxes?
发现美国股市的长期收益反转更可能是投资者因资本利得税而理性锁定收益的结果，而非对新闻的非理性过度反应；在香港（无资本利得税）则不存在这种反转。
ABSTRACT Long‐term reversals in U.S. stock returns are better explained as the rational reactions of investors to locked‐in capital gains than an irrational overreaction to news. Predictors of returns based on the overreaction hypothesis have no power, while those that measure locked‐in capital gains do, completely subsuming past returns measures that are traditionally used to predict long‐term returns. In data from Hong Kong, where investment income is not taxed, reversals are nonexistent, and returns are not forecastable either by traditional measures or by measures based on the capital gains lock‐in hypothesis that successfully predict U.S. returns.