IDEAS home Printed from https://ideas.repec.org/a/ucp/jnlbus/v60y1987i2p281-95.html
   My bibliography  Save this article

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

Author

Listed:
  • Reinganum, Marc R
  • Shapiro, Alan C

Abstract

Prior 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.

Suggested Citation

  • Reinganum, Marc R & Shapiro, Alan C, 1987. "Taxes and Stock Return Seasonality: Evidence from the London Stock Exchange," The Journal of Business, University of Chicago Press, vol. 60(2), pages 281-295, April.
  • Handle: RePEc:ucp:jnlbus:v:60:y:1987:i:2:p:281-95
    as

    Download full text from publisher

    File URL: http://dx.doi.org/10.1086/296396
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Barro, Robert J & Sahasakul, Chaipat, 1983. "Measuring the Average Marginal Tax Rate from the Individual Income Tax," The Journal of Business, University of Chicago Press, vol. 56(4), pages 419-452, October.
    2. Roger H. Gordon, 1983. "Social Security And Labor Supply Incentives," Contemporary Economic Policy, Western Economic Association International, vol. 1(3), pages 16-22, April.
    3. Robert J. Barro & Chaipat Sahasakul, 1983. "Measuring the Average Marginal Tax Rates from Social Security and the Individual Income Tax," University of Chicago - George G. Stigler Center for Study of Economy and State 29, Chicago - Center for Study of Economy and State.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. 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.
    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. 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.
    5. 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.
    6. 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.
    7. Stephen A. Easton & Sean M. Pinder, 2007. "A Refutation of the Existence of the Other January Effect-super-," International Review of Finance, International Review of Finance Ltd., vol. 7(3-4), pages 89-104.
    8. 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.
    9. 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.
    10. 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.
    11. repec:bor:iserev:v:12:y:2012:i:45:p:27-58 is not listed on IDEAS
    12. 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.
    13. Sun, Qian & Tong, Wilson H.S., 2010. "Risk and the January effect," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 965-974, May.
    14. Miguel Balbina & Nuno C. Martins, 2002. "The Analysis of Seasonal Return Anomalies in the Portuguese Stock Market," Working Papers w200211, Banco de Portugal, Economics and Research Department.
    15. 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.
    16. 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.
    17. repec:bor:iserev:v:12:y:2012:i:45:p:59-95 is not listed on IDEAS
    18. 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.
    19. 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.
    20. 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, November.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:60:y:1987:i:2:p:281-95. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division). General contact details of provider: http://www.journals.uchicago.edu/JB/ .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.