A November Effect? Revisiting the Tax-Loss-Selling Hypothesis
This 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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Volume (Year): 28 (1999)
Issue (Month): 4 (Winter)
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