It is documented that for both high- and low-yield stocks, ex day raw returns are systematically higher in January than for the other months of the year. Although such patterns are not predicted by any known tax-clienteles model, they are consistent with the price discreteness and spread models in the spirit of Bali and Hite ( Journal of Financial Economics , 47 , 127-59, 1998) and Bali ( Journal of Economics and Finance , 27 , 190-210, 2003). For high-yield stocks in January, the returns are about one-fourth those for low-yield stocks, and for the remaining months they are significantly negative. The rents that arbitrageurs earn for supplying liquidity are higher for low-yield stocks and are significantly higher in January.
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Volume (Year): 10 (2003) Issue (Month): 14 (November) Pages: 929-932 Download reference. The following formats are available: HTML
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