Panel C lists regression coefficients and t statistics for two capital loss dummies associated with moderate or extreme capital losses. Panel D lists
regression coefficients and t statistics for two interaction variables representing the product of a dummy that takes on the value of one if the sale
or hold decision is made in December, and the two capital loss dummies from Panel C. Panels E and F list regression coefficients and t statistics
for 22 interaction variables, representing the product of a dummy that takes on the value of one if there is a realized or paper capital loss, and
the 22 return regressors described in Panels A and B. Panel G reports on two reference price dummy variables associated with the stock being
at a one-month high or low. Panel H reports on variables related to the stock’s and market’s average squared daily return over the prior 60
trading days. Panel I reports on a set of miscellaneous variables that control for the investor and his portfolio. Unreported are coefficients on
a set of dummies for each stock, month, number of stocks in the investor’s portfolio, investor age dummies, past market return variables, and
products of a capital loss dummy and past market return variables.