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Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange

Citations

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Cited by:

  1. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
  2. Paul Alagidede & Theodore Panagiotidis, 2009. "Calendar Anomalies in the Ghana Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(1), pages 1-23, April.
  3. Paul Alagidede & Theodore Panagiotidis, 2006. "Calendar Anomalies in an Emerging African Market: Evidence from the Ghana Stock Exchange," Discussion Paper Series 2006_13, Department of Economics, Loughborough University, revised Jun 2006.
  4. Tobias J. Moskowitz & Mark Grinblatt, 2002. "What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?," Yale School of Management Working Papers ysm259, Yale School of Management.
  5. Lucey, Brian M & Zhao, Shelly, 2008. "Halloween or January? Yet another puzzle," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1055-1069, December.
  6. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
  7. Katircioglu, Setareh & Katircioglu, Salih, 2023. "The effects of environmental taxation on stock returns of renewable energy producers: Evidence from Turkey," Renewable Energy, Elsevier, vol. 208(C), pages 311-323.
  8. repec:bor:iserev:v:12:y:2012:i:45:p:59-95 is not listed on IDEAS
  9. Qiwei Chen & Lisa Jack & Andrew Wood, 2007. "Tax-loss selling and seasonal effects in the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 17(13), pages 1027-1035.
  10. Carlos Francisco Alves & Duarte André de Castro Reis, 2018. "Evidence of Idiosyncratic Seasonality in ETFs Performance," FEP Working Papers 603, Universidade do Porto, Faculdade de Economia do Porto.
  11. Danny Yeung, 2012. "The Impact of Institutional Ownership: A Study of the Australian Equity Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 11, July-Dece.
  12. 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.
  13. James M. Poterba & Scott J. Weisbenner, 2001. "Capital Gains Tax Rules, Tax‐loss Trading, and Turn‐of‐the‐year Returns," Journal of Finance, American Finance Association, vol. 56(1), pages 353-368, February.
  14. Stephen A. Easton & Sean M. Pinder, 2007. "A Refutation of the Existence of the Other January Effect," International Review of Finance, International Review of Finance Ltd., vol. 7(3‐4), pages 89-104, September.
  15. Gualter Couto & Pedro Pimentel & Catarina Barbosa & Rui Alexandre Castanho, 2021. "The Month-of-the-Year Effect in the European, American, Australian and Asian Markets," Economies, MDPI, vol. 9(4), pages 1-14, November.
  16. Menyah, Kojo, 1999. "New evidence on the impact of size and taxation on the seasonality of UK equity returns," Review of Financial Economics, Elsevier, vol. 8(1), pages 11-24, June.
  17. Philip Brown & Andrew Ferguson & Sam Sherry, 2010. "Investor behaviour in response to Australia’s capital gains tax," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 50(4), pages 783-808, December.
  18. Krzysztof Borowski, 2016. "Analysis Of Monthly Rates Of Return In April On The Example Of Selected World Stock Exchange Indices," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(2), pages 307-325, June.
  19. Vicent AragO-Manzana & M Angeles Fernandezizquierdo, 2003. "Monthly seasonality of the returns and volatility of the IBEX-35 index and its futures contract," Applied Economics Letters, Taylor & Francis Journals, vol. 10(3), pages 129-133.
  20. Robert J. Sweeney & Robert F. Scherer & Janet Goulet & Waldemar M. Goulet, 1996. "Investment Behavior and the Small Firm Effect," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 5(3), pages 251-269, Fall.
  21. Cox, Kevin C. & Lortie, Jason & Stewart, Steven A., 2017. "When to pray to the angels for funding: The seasonality of angel investing in new ventures," Journal of Business Venturing Insights, Elsevier, vol. 7(C), pages 68-76.
  22. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
  23. Zainudin Arsad & J. Andrew Coutts, 1997. "Security price anomalies in the London International Stock Exchange: a 60 year perspective," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 455-464.
  24. Kojo Menyah, 1999. "New evidence on the impact of size and taxation on the seasonality of UK equity returns," Review of Financial Economics, John Wiley & Sons, vol. 8(1), pages 11-24.
  25. Patricia Chelley-Steeley & James Steeley, 2005. "The leverage effect in the UK stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(6), pages 409-423.
  26. Grieb, Terrance & Reyes, Mario G., 2002. "The temporal relationship between large- and small-capitalization stock returns:: Evidence from the UK," Review of Financial Economics, Elsevier, vol. 11(2), pages 109-118.
  27. Terrance Grieb & Mario G. Reyes, 2002. "The temporal relationship between large‐ and small‐capitalization stock returns:," Review of Financial Economics, John Wiley & Sons, vol. 11(2), pages 109-118.
  28. Brian Lucey & Shane Whelan, 2004. "Monthly and semi-annual seasonality in the Irish equity market 1934-2000," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 203-208.
  29. Sulaiman Mouselli & Hazem Al-Samman, 2016. "An Examination of the Month-of-the-year Effect at Damascus Securities Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 573-577.
  30. Miguel Balbina, 2002. "The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market," Working Papers w200211, Banco de Portugal, Economics and Research Department.
  31. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 275-307, November.
  32. Morgan, Gareth & Thomas, Stephen, 1998. "Taxes, dividend yields and returns in the UK equity market," Journal of Banking & Finance, Elsevier, vol. 22(4), pages 405-423, May.
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