Prior studies have linked long-term reversals to the magnitude of locked-in capital gains, suggesting that reversals are driven by tax effects and not overreaction. We show that locked-in capital gains do not explain the reversals in winners when winner returns are based intangible information...

Prior studies have linked long-term reversals to the magnitude of locked-in capital gains, suggesting that reversals are driven by tax effects and not overreaction. We show that locked-in capital gains do not explain the reversals in winners when winner returns are based intangible information...

The well-documented negative relationship between idiosyncratic volatility and stock returns is puzzling if investors are risk-averse. However, under prospect theory, while investors are risk-averse in the domain of gains, they exhibit risk-seeking behavior in the domain of losses. Consistent...