Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange
AbstractPrior to the introduction of capital-gains taxes, seasonality is not detected in the returns of firms that traded on the London Stock Exchange. However, after the imposition of a capital-gains tax, the British stock return data exhibit apparent monthly effects in both Jan uary and April. Additional analysis reveals that, while the April effect is consistent with the tax-loss-selling hypothesis, the January effect cannot be attributed solely to the introduction of capital-gains taxation. Furthermore, the authors efforts indicate that much caution should be exercised when interpreting studies that compare results from non-U.S. data sources with those from U.S. data. Copyright 1987 by the University of Chicago.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 60 (1987)
Issue (Month): 2 (April)
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Web page: http://www.journals.uchicago.edu/JB/
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- JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011. "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers dp671, Financial Markets Group.
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