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.