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Published by Alfred P. Sloan School of Management, Massachusetts Institute of Technology in Cambridge, Mass .
Written in English


Book details:

Edition Notes

Statementby Terry A. Marsh ... [et al.].
SeriesWP ; 1378-82, Working paper (Sloan School of Management) -- 1378-82.
ContributionsMarsh, Terry A.
The Physical Object
Pagination22, [10] p. :
Number of Pages22
ID Numbers
Open LibraryOL14053164M
OCLC/WorldCa9343892

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STOCKRETURNSEASONALITIESANDTHE "TAX-LOSSSELLING"HYPOTHESIS:ANALYSISOF THEARGUMENTSANDAUSTRALIANEVIDENCE by * PhilipB'^wn n # Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence Abstract A ‘tax-loss selling’ hypothesis has frequently been advanced to explain the ‘January effect’ reported in this issue by Keim. This paper concludes that U.S. tax laws do not unambiguously predict such an effect. SinceCited by: Stock Return Seasonalities and the "Tax-Loss Selling" Hypothesis: Analysis of the Arguments and Australian Evidence By Philip Brown, Donald B. Keim, Allan W. Kleidon, .   Journal of Financial Economics 12 () North-Holland STOCK RETURN SEASONALITIES AND THE TAX-LOSS SELLING HYPOTHESIS Analysis of the Arguments and Australian Evidence* Philip BROWN University of Western Australia, Nedlands , Western Australia, Australia Donald B. KEIM University of Pennsylvania, Philadelphia, PA , USA Allan W. Cited by:

A ‘tax-loss selling’ hypothesis has frequently been advanced to explain the ‘January effect’ reported in this issue by Keim. This paper concludes that U.S. tax laws do not unambiguously predict such an effect. Since Australia has similar tax laws but a July–June tax year, the hypothesis predicts a small-firm July premium. Australian returns show pronounced December–January and July. Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the arguments and Australian evidence. Philip Brown, Donald Keim (), Allan W. Kleidon and Terry A. Marsh. Journal of Financial Economics, , vol. 12, issue 1, Date: References: Add references at CitEc Citations: View citations in EconPapers (57) Track citations by RSS feed. Brown, Philip & Keim, Donald B. & Kleidon, Allan W. & Marsh, Terry A., "Stock return seasonalities and the tax-loss selling hypothesis: Analysis of the.   quantities of risk or mispricing, including that induced by tax-loss selling.6 Our paper does not take a stand on the origins of the seasonalities. However, it shows that if seasonalities exist, they can aggregate into large and seemingly stock-specific seasonalities in individual stock returns.

Abstract This study documents the existence of strong day‐of‐the‐week effects for most of the Asia Pacific markets. There are also more day‐of‐the‐week variations in the non‐January months than in. Downloadable (with restrictions)! Seasonal effects are tested for in stock returns, the January effect anomaly and the tax-loss selling hypothesis using monthly stock returns in eighteen emerging stock markets for the period Even though considerable evidence for seasonal effects applies in several countries, very little evidence is found in favour of the January effect and the tax. Seasonal effects are tested for in stock returns, the January effect anomaly and the tax-loss selling hypothesis using monthly stock returns in eighteen emerging stock markets for the period – testing of the tax-loss-selling hypothesis without a confounding information effect. The tax-loss-selling hypothesis implies neither a November return nor a trading volume seasonality prior to the TRA. We would, however, expect a post-TRA November effect. To the extent that tax selling is documented in November, this paper.