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New evidence on the impact of size and taxation on the seasonality of UK equity returns

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  • Kojo Menyah

Abstract

The paper investigates the extent to which capital gains taxation and the portfolio rebalancing hypothesis may account for the seasonality of UK equity returns. The empirical results show that in small firm portfolios during the period of capital gains taxation, April but not January seasonality is consistent with the tax‐loss selling hypothesis. The January seasonality, which is detected even before the introduction of capital gains taxation, is also consistent with the portfolio rebalancing hypothesis until the 1980s, when such seasonality becomes increasingly insignificant.

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  • 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.
    • Handle: RePEc:wly:revfec:v:8:y:1999:i:1:p:11-24
    DOI: 10.1016/S1058-3300(99)00004-X
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