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Insider trading, tax-loss selling, and the turn-of-the-year effect

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  • Hillier, David
  • Marshall, Andrew

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  • Hillier, David & Marshall, Andrew, 2002. "Insider trading, tax-loss selling, and the turn-of-the-year effect," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 73-84.
    • Handle: RePEc:eee:finana:v:11:y:2002:i:1:p:73-84
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    References listed on IDEAS

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    1. R. Richardson Pettit & P.C. Venkatesh, 1995. "Insider Trading and Long-Run Return Performance," Financial Management, Financial Management Association, vol. 24(2), Summer.
    2. Seyhun, H Nejat, 1988. "The Information Content of Aggregate Insider Trading," The Journal of Business, University of Chicago Press, vol. 61(1), pages 1-24, January.
    3. Stoll, Hans R. & Whaley, Robert E., 1983. "Transaction costs and the small firm effect," Journal of Financial Economics, Elsevier, vol. 12(1), pages 57-79, June.
    4. repec:bla:jfinan:v:43:y:1988:i:1:p:129-41 is not listed on IDEAS
    5. Seyhun, H. Nejat, 1986. "Insiders' profits, costs of trading, and market efficiency," Journal of Financial Economics, Elsevier, vol. 16(2), pages 189-212, June.
    6. David Hillier & Andrew P. Marshall, 2002. "The Market Evaluation of Information in Directors' Trades," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 29(1&2), pages 77-110.
    7. Griffiths, Mark D & White, Robert W, 1993. "Tax-Induced Trading and the Turn-of-the-Year Anomaly: An Intraday Study," Journal of Finance, American Finance Association, vol. 48(2), pages 575-598, June.
    8. Schultz, Paul, 1983. "Transaction costs and the small firm effect : A comment," Journal of Financial Economics, Elsevier, vol. 12(1), pages 81-88, June.
    9. Givoly, Dan & Palmon, Dan, 1985. "Insider Trading and the Exploitation of Inside Information: Some Empirical Evidence," The Journal of Business, University of Chicago Press, vol. 58(1), pages 69-87, January.
    10. Lakonishok, Josef & Smidt, Seymour, 1984. "Volume and turn-of-the-year behavior," Journal of Financial Economics, Elsevier, vol. 13(3), pages 435-455, September.
    11. Lin, Ji-Chai & Howe, John S, 1990. "Insider Trading in the OTC Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1273-1284, September.
    12. Keim, Donald B., 1989. "Trading patterns, bid-ask spreads, and estimated security returns : The case of common stocks at calendar turning points," Journal of Financial Economics, Elsevier, vol. 25(1), pages 75-97, November.
    13. Finnerty, Joseph E, 1976. "Insiders and Market Efficiency," Journal of Finance, American Finance Association, vol. 31(4), pages 1141-1148, September.
    14. Finnerty, Joseph E., 1976. "Insiders' Activity and Inside Information: A Multivariate Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(2), pages 205-215, June.
    15. Fama, Eugene F & French, Kenneth R, 1996. "The CAPM Is Wanted, Dead or Alive," Journal of Finance, American Finance Association, vol. 51(5), pages 1947-1958, December.
    16. Bhardwaj, Ravinder K & Brooks, LeRoy D, 1992. "The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias," Journal of Finance, American Finance Association, vol. 47(2), pages 553-575, June.
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    Cited by:

    1. Betty Agnani & Henry Aray, 2011. "The January effect across volatility regimes," Quantitative Finance, Taylor & Francis Journals, vol. 11(6), pages 947-953.
    2. ROBINSON, C. Justin & BANGWAYO-SKEETE, Prosper, F., 2018. "The Information Content Of Dividend Announcements: Evidence From Frontier Markets With Varying Tax Regimes In Jamaica And Trinidad And Tobago, 2001-2017," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 18(2), pages 73-86.
    3. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
    4. Bley, Jorg & Saad, Mohsen, 2010. "Cross-cultural differences in seasonality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 306-312, September.

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