A November Effect? Revisiting the Tax-Loss-Selling Hypothesis
AbstractThis study documents a November tax-loss-selling effect that has become evident following the enactment of the Tax Reform Act of 1986 and the change in tax-year-end for mutual funds. The results suggest that the tax-loss-selling hypothesis best explains the well-known January effect observed in stock returns.
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Bibliographic InfoArticle provided by Financial Management Association in its journal Financial Management.
Volume (Year): 28 (1999)
Issue (Month): 4 (Winter)
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- Ali F. Darrat & Bin Li & Benjamin Liu & Jen Je Su, 2011. "A Fresh Look at Seasonal Anomalies: An International Perspective," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(2), pages 93-116, August.
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- Bergstresser, Daniel & Poterba, James, 2002.
"Do after-tax returns affect mutual fund inflows?,"
Journal of Financial Economics,
Elsevier, vol. 63(3), pages 381-414, March.
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