Can Tax-Loss Selling Explain the January Effect? A Note
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 42 (1987)
Issue (Month): 2 (June)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Furfine, Craig H., 2004. "Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending," Journal of Financial Markets, Elsevier, vol. 7(1), pages 97-116, January.
- Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
- Benson, Earl D. & Rystrom, David S. & Smersh, Greg T., 1995. "Commission-motivated trading patterns of brokers across the production month," Financial Services Review, Elsevier, vol. 4(2), pages 81-95.
- Bohl, Martin T. & Gottschalk, Katrin & Henke, Harald & Pál, Rozália, 2006. "Institutional investors and stock market efficiency: The case of the January anomaly," Working Paper Series 2006,6, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
- Bohl, Martin T. & Gottschalk, Katrin & Pál, Rozália, 2006. "Institutional investors and stock market efficiency: The case of the January anomaly," MPRA Paper 677, University Library of Munich, Germany, revised Nov 2006.
- James M. Poterba, 2001.
"Capital Gains Tax Rules, Tax-loss Trading, and Turn-of-the-year Returns,"
Journal of Finance,
American Finance Association, vol. 56(1), pages 353-368, 02.
- James M. Poterba & Scott J. Weisbenner, 1998. "Capital Gains Tax Rules, Tax Loss Trading and Turn-of-the-Year Returns," NBER Working Papers 6616, National Bureau of Economic Research, Inc.
- JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011. "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers dp671, Financial Markets Group.
- Khalid Al-Saad & Imad Moosa, 2005. "Seasonality in stock returns: evidence from an emerging market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(1), pages 63-71.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.