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Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence
7 references·16 citing·42 second hop
Stock Return Seasonalities and the Tax-Loss Selling Hypothesis: Analysis of the Arguments and Australian Evidence (1983)Stock Return Seasonalities and the Tax-Lo…The anomalous stock market behavior of small firms in January (1983)The anomalous stock market be…New evidence on the nature of size-related anomalies in stock prices (1983)New evidence on the nature of…The relationship between return and market value of common stocks (1981)The relationship between retu…Misspecification of capital asset pricing (1981)Misspecification of capital a…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Capital market seasonality: The case of stock returns (1976)Capital market seasonality: T…The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices (1972)The Market for Securities: Su…Using Twitter to Predict the Stock Market (2015)Using Twitter to Predict the …Are Monthly Seasonals Real? A Three Century Perspective (2012)Are Monthly Seasonals Real? A…Is size dead? A review of the size effect in equity returns (2011)Is size dead? A review of the…Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket (2004)Size and book to market effec…Value versus Glamour (2003)Value versus GlamourAn investigation into the role of liquidity in asset pricing: Australian evidence (2003)An investigation into the rol…Forecasting volatility in the New Zealand stock market (2002)Forecasting volatility in the…Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis (2002)Emerging stock markets return…Transactions Costs and Holding Periods for Common Stocks (1997)Transactions Costs and Holdin…On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressions (1997)On The Robustness of Size and…Turn-of-month and pre-holiday effects on stock returns: Some international evidence (1992)Turn-of-month and pre-holiday…Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships (1989)Potential gains from internat…Event study methodologies and the size effect (1986)Event study methodologies and…Seasonal and Size Anomalies in the Japanese Stock Market (1985)Seasonal and Size Anomalies i…Volume and turn-of-the-year behavior (1984)Volume and turn-of-the-year b…Size and stock returns, and other empirical regularities (1983)Size and stock returns, and o…Size-related anomalies and stock return seasonality (1983)Measuring abnormal performance (1992)Performance Measurement without Benchmarks: An Examination of Mutual Fund Returns (1993)Stock prices and the Wall Street weather (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Insiders' profits, costs of trading, and market efficiency (1986)Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Fundamentals and Stock Returns in Japan (1991)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)Statistical principles in experimental design. (1962)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time Series Analysis: Forecasting and Control (1977)Stock Prices and Volume (1992)Another Look at the Cross-Section of Expected Stock Returns (1995)Stock returns and the weekend effect (1980)Are Seasonal Anomalies Real? A Ninety-Year Perspective (1988)Data-Snooping Biases in Tests of Financial Asset Pricing Models (1990)Calendar effects in the London Stock Exchange FT–SE indices (1995)Tests of technical trading strategies in the emerging equity markets of Latin America and Asia (1999)Fast profits: Investor sentiment and stock returns during Ramadan (2011)An Intertemporal Capital Asset Pricing Model (1973)Risk and return (1984)The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)What Factors Drive Global Stock Returns? (2006)Factor Investing in the Corporate Bond Market (2014)Size matters, if you control your junk (2018)Murphy's Law and Market Anomalies (1999)Realized jumps on financial markets and predicting credit spreads (2010)Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012)The Event Study Methodology Since 1969 (1998)Does Arbitrage Flatten Demand Curves for Stocks? (2002)Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010)
this work references cited by second hop

References

  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1981Misspecification of capital asset pricing1,286 cited
  • 1976Capital market seasonality: The case of stock returns1,229 cited
  • 1972The Market for Securities: Substitution Versus Price Pressure and the Effects of Information on Share Prices886 cited
  • 1983The anomalous stock market behavior of small firms in January848 cited
  • 1983New evidence on the nature of size-related anomalies in stock prices337 cited

Cited by

  • 1992Turn-of-month and pre-holiday effects on stock returns: Some international evidence311 cited
  • 2011Is size dead? A review of the size effect in equity returns302 cited
  • 1986Event study methodologies and the size effect293 cited
  • 1997On The Robustness of Size and Book‐to‐Market in Cross‐Sectional Regressions287 cited
  • 1983Size and stock returns, and other empirical regularities258 cited
  • 1985Seasonal and Size Anomalies in the Japanese Stock Market256 cited
  • 2004Size and book to market effects and the Fama French three factor asset pricing model: evidence from the Australian stockmarket244 cited

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2002
Forecasting volatility in the New Zealand stock market
219 cited
  • 1997Transactions Costs and Holding Periods for Common Stocks205 cited
  • 1984Volume and turn-of-the-year behavior160 cited
  • 1989Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships159 cited
  • 2015Using Twitter to Predict the Stock Market136 cited
  • 2003Value versus Glamour120 cited
  • 2002Emerging stock markets return seasonalities: the January effect and the tax-loss selling hypothesis118 cited
  • 2012Are Monthly Seasonals Real? A Three Century Perspective112 cited
  • 2003An investigation into the role of liquidity in asset pricing: Australian evidence109 cited