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The anomalous stock market behavior of small firms in January : Empirical tests for tax-loss selling effects

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Author Info
Reinganum, Marc R.
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File URL: http://www.sciencedirect.com/science/article/B6VBX-45N4YW5-T/2/b899450142f713f052c34134f12b7b14
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 12 (1983)
Issue (Month): 1 (June)
Pages: 89-104
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Handle: RePEc:eee:jfinec:v:12:y:1983:i:1:p:89-104

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

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  1. Bruce D. Grundy & J. Spencer Martin, . "Understanding the Nature of the Risks and the Source of Rewards to Momentum Investing," Rodney L. White Center for Financial Research Working Papers 13-98, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
  2. G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Ercan Balaban, 1995. "January Effect, Yes. What About Mark Twain Effect?," Discussion Papers 9509, Research and Monetary Policy Department, Central Bank of the Republic of Turkey. [Downloadable!]
  4. Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  6. Michael E. Drew & Madhu Veeraraghavan, 2001. "On the Value Premium in Malaysia," School of Economics and Finance Discussion Papers and Working Papers Series 092, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  7. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  8. Post, Thierry, 2005. "A Stochastic Dominance Approach to Spanning. With an Application to the January Effect/Una aproximación mediante la metodología del dominio estocástico al fenómeno del SPANNING. Una aplicación al," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 23, pages 7-25, Abril. [Downloadable!] (restricted)
  9. Post, G.T., 2002. "A Stochastic Dominance Approach to Spanning," Research Paper ERS-2002-01-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  10. 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. [Downloadable!] (restricted)
    Other versions:
  11. Mark Grinblatt & Tobias Moskowitz, 1999. "The Cross Section of Expected Returns and its Relation to Past Returns: New Evidence," University of California at Los Angeles, Anderson Graduate School of Management 1100, Anderson Graduate School of Management, UCLA. [Downloadable!]
    Other versions:
  12. Bjorn Wahlroos & Tom Berglund, 1983. "The January Effect on a Small Stock Market: Lumpy Information and Tax-Loss Selling," Discussion Papers 579, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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