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Stock return seasonalities and the tax-loss selling hypothesis : Analysis of the arguments and Australian evidence

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Author Info
Brown, Philip
Keim, Donald B.
Kleidon, Allan W.
Marsh, Terry A.

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 12 (1983)
Issue (Month): 1 (June)
Pages: 105-127
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Handle: RePEc:eee:jfinec:v:12:y:1983:i:1:p:105-127

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Pandey I M, 2002. "Is There Seasonality in the Sensex Monthly Returns?," IIMA Working Papers 2002-09-08, Indian Institute of Management Ahmedabad, Research and Publication Department. [Downloadable!]
  2. Mark J. Kamstra & Lisa A. Kramer & Maurice D. Levi, 2003. "Winter Blues: A SAD Stock Market Cycle," American Economic Review, American Economic Association, vol. 93(1), pages 324-343, March. [Downloadable!]
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  3. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer, vol. 5(3), pages 275-307, November. [Downloadable!] (restricted)
  4. Doran, James & Jiang, Danling & Peterson, David, 2008. "Gambling Preference and the New Year Effect of Assets with Lottery Features," MPRA Paper 9258, University Library of Munich, Germany, revised 10 Mar 2009. [Downloadable!]
  5. Khalid Al-Saad & Imad A. Moosa, 2005. "Seasonality in stock returns: evidence from an emerging market," Applied Financial Economics, Taylor and Francis Journals, vol. 15(1), pages 63-71, January. [Downloadable!] (restricted)
  6. Mark Grinblatt & Matti Keloharju, 2000. "Tax Loss Trading and Wash Sales," University of California at Los Angeles, Anderson Graduate School of Management 1059, Anderson Graduate School of Management, UCLA. [Downloadable!]
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