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The January Effect on a Small Stock Market: Lumpy Information and Tax-Loss Selling

  • Bjorn Wahlroos
  • Tom Berglund
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    File URL: http://www.kellogg.northwestern.edu/research/math/papers/579.pdf
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    Paper provided by Northwestern University, Center for Mathematical Studies in Economics and Management Science in its series Discussion Papers with number 579.

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    Date of creation: Jan 1983
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    Handle: RePEc:nwu:cmsems:579
    Contact details of provider: Postal: Center for Mathematical Studies in Economics and Management Science, Northwestern University, 580 Jacobs Center, 2001 Sheridan Road, Evanston, IL 60208-2014
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    Web page: http://www.kellogg.northwestern.edu/research/math/
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    1. Fama, Eugene F, et al, 1969. "The Adjustment of Stock Prices to New Information," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(1), pages 1-21, February.
    2. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    3. Reinganum, Marc R., 1983. "The anomalous stock market behavior of small firms in January : Empirical tests for tax-loss selling effects," Journal of Financial Economics, Elsevier, vol. 12(1), pages 89-104, June.
    4. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
    5. Mustafa N. Gultekin & Bulent N. Gultekin, . "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.
    6. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    7. Reinganum, Marc R, 1982. " A Direct Test of Roll's Conjecture on the Firm Size Effect," Journal of Finance, American Finance Association, vol. 37(1), pages 27-35, March.
    8. 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.
    9. Mayshar, Joram, 1981. "Transaction Costs and the Pricing of Assets," Journal of Finance, American Finance Association, vol. 36(3), pages 583-97, June.
    10. Branch, Ben, 1977. "A Tax Loss Trading Rule," The Journal of Business, University of Chicago Press, vol. 50(2), pages 198-207, April.
    11. Dyl, Edward A, 1977. "Capital Gains Taxation and Year-End Stock Market Behavior," Journal of Finance, American Finance Association, vol. 32(1), pages 165-75, March.
    12. Marsh, Paul, 1979. "Equity Rights Issues and the Efficiency of the UK Stock Market," Journal of Finance, American Finance Association, vol. 34(4), pages 839-62, September.
    13. Roll, Richard, 1981. "A Possible Explanation of the Small Firm Effect," Journal of Finance, American Finance Association, vol. 36(4), pages 879-88, September.
    14. Haugen, Robert A & Wichern, Dean W, 1973. "The Diametric Effects of the Capital Gains Tax on the Stability of Stock Prices," Journal of Finance, American Finance Association, vol. 28(4), pages 987-96, September.
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