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Odd-Lot Transactions around the Turn of the Year and the January Effect

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  • Dyl, Edward A.
  • Maberly, Edwin D.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 27 (1992)
Issue (Month): 04 (December)
Pages: 591-604

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Handle: RePEc:cup:jfinqa:v:27:y:1992:i:04:p:591-604_00

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Cited by:
  1. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
  2. Chen, Carl R. & Sauer, David A., 1997. "Mean reversion in asset returns with varying debt and equity components: Evidence and implications from preferred stock," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(3), pages 683-696.
  3. Kohers, Theodor & Patel, Jayen B., 1996. "An examination of the day-of-the-week effect in junk bond returns over business cycles," Review of Financial Economics, Elsevier, vol. 5(1), pages 31-46.
  4. Ortiz, Cristina & Sarto, José Luis & Vicente, Luis, 2012. "Portfolios in disguise? Window dressing in bond fund holdings," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 418-427.
  5. Kaplanski, Guy & Levy, Haim, 2010. "Sentiment and stock prices: The case of aviation disasters," Journal of Financial Economics, Elsevier, vol. 95(2), pages 174-201, February.
  6. Ken Johnston & Chris Paul, 2005. "Further evidence of the November effect," Journal of Economics and Finance, Springer, vol. 29(2), pages 280-288, June.
  7. Chen, Carl R. & Mohan, Nancy J. & Steiner, Thomas L., 1999. "Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 897-924, June.
  8. 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.
  9. Ken Johnston & Don Cox, 2002. "Market index returns, macroeconomic variables, and tax-loss selling," Journal of Economics and Finance, Springer, vol. 26(3), pages 297-308, September.
  10. Paul Brockman & David Michayluk, 1998. "Individual versus institutional investors and the weekend effect," Journal of Economics and Finance, Springer, vol. 22(1), pages 71-85, March.
  11. Bohl, Martin T. & Goodfellow, Christiane & Bialkowski, Jedrzej, 2010. "Individual investors surpass their reputation: Trading behaviour on the Polish futures market," Economic Systems, Elsevier, vol. 34(4), pages 480-492, December.

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