The January Effect on a Small Stock Market: Lumpy Information and Tax-Loss Selling
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References listed on IDEAS
- Roll, Richard, 1981. "A Possible Explanation of the Small Firm Effect," Journal of Finance, American Finance Association, vol. 36(4), pages 879-888, September.
- Scholes, Myron S, 1972. "The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices," The Journal of Business, University of Chicago Press, vol. 45(2), pages 179-211, April.
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- Mustafa N. Gultekin & Bulent N. Gultekin, "undated". "Stock Market Seasonality and End of the Tax Year Effect," Rodney L. White Center for Financial Research Working Papers 10-82, Wharton School Rodney L. White Center for Financial Research.
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- Bjorn Wahlroos & Tom Berglund, 1984. "Anomalies and Equilibrium Returns in a Small Stock Market," Discussion Papers 589, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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