Buyers versus Sellers: Who Initiates Trades, and When?
研究发现，总体而言，过去收益增加时买方和卖方发起的交易都会增加；两者之差与短期收益负相关，与长期收益正相关，且12月和1月的税收损失相关卖方交易伴随买方交易增加。
Models that examine investors’ motivations to trade often make opposite predictions about the relation between trading decisions and past returns. We find that, in the aggregate, both buyer- and seller-initiated trades increase with past returns. The difference between buyer- and seller-initiated trades is negatively related to short horizon returns but positively related to returns over longer horizons. Tax-loss-related seller-initiated trades in December and January are accompanied by increased buyer-initiated trades. Past returns significantly affect trading decisions, and these findings are consistent with a number of different models of trading behavior.