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Can Tax-Loss Selling Explain the January Effect? A Note

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  • Jones, Charles P
  • Pearce, Douglas K
  • Wilson, Jack W

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  • Jones, Charles P & Pearce, Douglas K & Wilson, Jack W, 1987. " Can Tax-Loss Selling Explain the January Effect? A Note," Journal of Finance, American Finance Association, vol. 42(2), pages 453-461, June.
  • Handle: RePEc:bla:jfinan:v:42:y:1987:i:2:p:453-61
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    Cited by:

    1. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 2001. "Dangers of data mining: The case of calendar effects in stock returns," Journal of Econometrics, Elsevier, vol. 105(1), pages 249-286, November.
    2. Steffen Meyer & Michaela Pagel, 2017. "Fresh Air Eases Work – The Effect of Air Quality on Individual Investor Activity," NBER Working Papers 24048, National Bureau of Economic Research, Inc.
    3. Bohl, Martin T. & Gottschalk, Katrin & Henke, Harald & Pál, Rozália, 2006. "Institutional investors and stock market efficiency: The case of the January anomaly," Working Paper Series 2006,6, European University Viadrina Frankfurt (Oder), The Postgraduate Research Programme Capital Markets and Finance in the Enlarged Europe.
    4. James M. Poterba, 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.
    5. Charles P. Jones & Jack W. Wilson, 1989. "An Analysis Of The January Effect In Stocks And Interest Rates Under Varying Monetary Regimes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(4), pages 341-354, December.
    6. Khalid Al-Saad & Imad Moosa, 2005. "Seasonality in stock returns: evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 63-71.
    7. Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998. "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series qt2z02z6d9, Department of Economics, UC San Diego.
    8. Furfine, Craig H., 2004. "Public disclosures and calendar-related movements in risk premiums: evidence from interbank lending," Journal of Financial Markets, Elsevier, vol. 7(1), pages 97-116, January.
    9. Lynch, Andrew & Puckett, Andy & Yan, Xuemin (Sterling), 2014. "Institutions and the turn-of-the-year effect: Evidence from actual institutional trades," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 56-68.
    10. Benson, Earl D. & Rystrom, David S. & Smersh, Greg T., 1995. "Commission-motivated trading patterns of brokers across the production month," Financial Services Review, Elsevier, vol. 4(2), pages 81-95.
    11. 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.
    12. Bohl, Martin T. & Gottschalk, Katrin & Pál, Rozália, 2006. "Institutional investors and stock market efficiency: The case of the January anomaly," MPRA Paper 677, University Library of Munich, Germany, revised Nov 2006.
    13. Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "The Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," FMG Discussion Papers dp304, Financial Markets Group.
    14. Kang, Johnny & Pekkala, Tapio & Polk, Christopher & Ribeiro, Ruy, 2011. "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics 43096, London School of Economics and Political Science, LSE Library.

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